Is there a functional difference between a $200 freestanding grill and a $2000 built-in grill?
There MAY be some real differences. Using the microwave oven as an example, which I actually have some experience with. A typical countertop (i.e., not built-in) microwave oven is typically designed NOT to be fixed in pretty much any way. If a switch, fuse, motor, etc. fails then generally it is both hard to fix, if it is at all possible to safely do so. A built-in microwave oven is designed like a conventional oven - serviceable, wiring diagram usually included, parts available from traditional supply houses or online. Fire (don't ask...) in a built-in microwave oven - find the thermal fuses and replace them. Fire in a countertop microwave oven - throw it away and get another one. Bad heating element in a conventional built-in oven - replace the element. Bad heating element in a countertop toaster oven - replace the appliance. There are also sometimes other differences as well.

I can't say for sure what the differences are with BBQ grills. I suspect there are some differences in terms of serviceability, quality of construction, durability, etc. Whether they are worth 5x the price is another story. Part of the difference in price is of course due to mass production - if you can produce 100,000 grills instead of 10,000, you can definitely amortize the design, tooling and other production costs and get the grills out the door for a lot less.