Does it make sense to put quality (=pricy) underlayment over 3/4" subfloor+1/2" extra plywood layer?
I would.  I put underlayment for all engineered.  I spend about .25 a sq/ft for my high quality rolls so not sure what you are looking at.  The point of the underlayment for engineered flooring is to provide a surface for the wood to slide across (wood on wood gets stuck sometimes) and to decrease the noise between hardwood and subfloor.  

Imagining your situation I feel like you might hear Clydesdale clicking and clacking if you don't install anything.