I could notice a difference between Cloud 2 and the Game One - the difference isn't night and day in CS, admittedly, but I could definitely hear more footsteps on the Game One, for example.
I find that if you buy a cheap headset like a HyperX one (as a random example), they often have to ramp the treble up to enable you to hear everything in-game, and this leads to music sounding very tinny and thin, which is not ideal for me. Some headsets don't do this at all, though, and that's when I've noticed the loss of some sounds in game. The midrange-expensive headsets will generally sound good in whatever you're using them for, and you'll also still be able to hear everything.
But for CS, it isn't life and death - there are differences, but you won't miss sounds ten feet in front of you with a HyperX or anything. I am not really an audiophile so I am 100% sure someone could explain this better than me, but these are my own personal experiences. I hope you find something that works for you!