Seems less like diminishing returns and more like mass hysteria at this point. The only people I personally know of who are as detached from the rest of the market are those guys who collect Telecasters.
Also vintage synthesizer collectors - although that market tops out around $150k, which is cheap compared to the most expensive one-off Steinway Grand piano models, which go for between $1m and $2m.
I think there's a difference between "enthusiast market segment" and "investment commidities". Also even Yamaha grand pianos aren't typically purchased by individuals. More like venues, etc. AFAIK most of those prestigious Steinway models wind up in the lobbies of luxury hotels. Point is those things justify their prices in a way that $1500 keyboards don't.
But honestly I'm being cynical for no reason here. Those guy can spend money on whatever makes them happy. I am in no place to judge.
And high end audio - turntables for $650k, etc.