According to this frequently cited study, most don't[0]. It states that "unless they are experts, individuals who are unaware of the price enjoy more expensive wines slightly less". Which means it goes like this: an expert tastes the wine, detects elements which they know are found in expensive wines, then judges the wine favorably because they know it's expensive. Grossly stated, the accolade is a consequence of becoming aware of the price.

This is similar to this great Penn and Teller "Water Bottle Survey"[sic] video [4:04]:

https://www.youtube.com/watch?v=YFKT4jvN4OE

[0]: https://core.ac.uk/download/pdf/6534611.pdf