The answer I got several years ago is that it only consistently makes a difference on certain equipment which has a separate luggage container for the priority bags. In other words, if it is the type of plane (767?) which takes those metal containers filled with bags, they put the priority stuff in the last one loaded, which is the first one removed. In other circumstances they load and unload bags up the conveyer belt, or in smaller containers, and they don't use the priority system.