There are differences between a high windows sensitivity, and more DPI, in my experience...
For one, you can't always turn off mouse acceleration within windows, and i always felt odd just turning up the speed - with a basic optical mouse, setting the speed at max, its still not as fast as my gaming mouse.
My reasons for having a gaming mouse:
Higher DPI = more sensitive. it picks up the surface better, and is less likely to do the old vanishing to the other side of the screen. If i use a standard optical on my work desk, the cursor never picks up the surface properly. Using my gaming mouse, it works fine... never any trouble.
Comfort: the buttons are bigger and the shape is slightly different. I feel like i'm putting less effort on the buttons to make them click, and i also have 4 buttons more than any normal mouse. Yes, I do use most of them.
Drivers: The Razer drivers have more customisability. I have on-the-fly sensitivity adjustment, which means if i want the cursor to go slowly for whatever reason, I don't have to go to the control panel, bla bla bla. Also button customisability. I can set any button to do anything. If i really wanted to, i could set the right mouse button to do a double left-click, and the wheel button to do a right click. No idea why I'd want to do that, but the option is there.
I have 2 mice plugged into my work PC at the moment, due to my KVM switch not having USB. They're both using the same windows sensitivity, but my gaming mouse (1600DPI Razer Diamondback) makes the cursor move much smoother and faster. It is a noticeable difference.