Never, music is the second most important thing in my life, I would spare no expense getting the best possible quality I can, diminishing returns and all. Headphones stop being worth it when more expensive does no yield any SQ benefits.
This is for me alone, other peoples views on music may be different.
The OP was asking at what price point this happens for each of us. You've referred to a situation where more expensive headphones would not justify your cost, but you've also answered, "never".