Is a Beef Wellington expensive or classy? It just looks like a bigger corndog to me. I've never had a wellington before so I have no idea what to expect.
Have you had tenderloin beef? Have you had pastry? You know what it tastes like and no, you're not missing anything unless you think boring unseasoned bland meat is good. Personally I'd rather have a great sear on a slab of meat lightly salt/peppered and get on with life.
Yeah I should have clarified. Steaming meat in pastry forgoes the Maillard reaction so it ends up as a roll of bland ingredients that have been "wasted" in the sense they didn't at all live up to their flavor potential.