Some sensored ESC's NEED a sensor wire plugged in from the motor to work, others don't. Tekin's for example can run sensored or sensorless, where as others can't.
ESC's all have FET's that control the power output. The quality and quantity of the fet's, along with other circuitry determine the efficiency of the ESC. The more efficient, the less heat build up and greater power flow to the motor.
ESC's don't send power to the motor, rather the motor draws power through the esc, so that is why ESC's have a motor turn limit.
To a point you pay more for quality, but some of the new stuff Hobbywing does is on par with the top stuff. Why?, well they are the same as Speed Passion for a start, just different label (therefore developed for competitive racing), also they don't have all the features like running sensorless, or brushed motors.
Programming is important if you are serious about racing, but if you're out to have fun, or spec racing, extra's are often not necessary