The tags are just like writing FRAGILE on a package before dropping it in the mail. If it shows up in one piece you assume (incorrectly) it had an effect and do so in the future. If it shows up broken you get more upset and wonder if they broke it on purpose and next time don't write FRAGILE on the box, if it doesn't get broke this time you confirm your suspicion.

The moral is just as there is probably no correlation between writting FRAGILE on a box in the mail and it getting damaged there is no correlation between the priority tags on luggage getting lost/left/damaged/coming out first. At the end of the day its all a roll of the dice.

*The above is really only correct on domestic UA operations, I have noticed at LHR they do a better job (though I still avoid LHR like the plague) and of course some other airlines actually do care and they have an effect.