I hadn't really thought about this until I saw your question. I don't use capers all that often, so I usually end up with the smaller ones as that's what I usually find at the market.
Interestingly enough, most of the sites I looked at said that said that there wasn't any difference and that it was a myth that seemed to perpetuate the idea that the smaller capers had a better taste. And your idea about price could also be a factor.
But then I ran across this from The Splendid Table:
SS: What about sizes? Should we be going for the smaller ones or the bigger ones?
DR: On the Internet, almost everybody says, "Get the smaller ones. They are better." But that is one of those food myths that just won't go away. The only reason that you hear it is because that's what everybody has always said, and nobody has really taken the trouble to really research it.
When I was in Pantelleria I kept asking, "What size do I want?" Everybody I spoke to -- from producers and chefs to local food writers -- all said the big ones are much more flavorful.
They usually come in three sizes: small, medium and large. The downside with the larger ones is these are closer to springing open and becoming flowers. They are not quite as tight in texture, they're not quite as firm, they have a flower inside them waiting to break out. However, they have developed to the most gorgeous flavor.
So, size does make a difference in the taste. As far as what is better, I would say it's a matter of personal preference.