I recently upgraded my DAC from the HRT Music Streamer II, my first DAC, to the Resonessence Concero. I'm not going to argue that it was clearly "worth the money" (in fact, I felt a bit guilty about it first, considering that it was my most expensive audio purchase to date), but I most definitely hear a difference between in it and my old DAC. The tricky thing is that part of the difference is just a different presentation that's not necessarily better or worse, and the other part of the difference is where the improvement lies.
The HE-400 clearly shows the differences between the DACs, and it shows that the Concero is better. I hear more separation between different layers of sound, so complex passages never get muddled. The single most distinct difference in absolute quality that I hear more low-level details -- I hear new ones on some of favorite songs, and the ones I already knew about appear earlier and stick around longer -- the fade to black is more fleshed out. I'm not sure if this was really worth the $500 used that I spent, but the point is that the HE-400 is resolving enough to show me the difference.
IMO, the difference I heard between the two DACs was about the same order of magnitude as the difference I heard when changing amps from the Little Dot MKIII to the Emotiva Mini-X. On the one hand, this is the difference between an OTL tube amp and an SS speaker amp, which is about as big as it gets. On the other hand, the amp upgrade cost considerably less than the DAC upgrade. It gets more complicated than that though -- I think the amp change was mostly a difference in presentation with relatively less difference in absolute quality (separation, details, bass definition, etc.), while the difference between the DACs consisted of relatively more difference in absolute quality. Both undoubtedly gave me a difference in presentation. The HRT is much riper in the bass and harsher in the highs than the Concero, which is interesting -- even though the Concero puts less emphasis on the bass, especially the midbass, its presentation comes off less bright in a way, because it is so much more polite. Perhaps cleaner is a better description.
TL;DR -- IME, diminishing returns doesn't mean that you stop hearing differences between gear. They are still readily apparent; they just cost more. The HE-400 can show you the differences between amps and DACs.