Yes, Shu are worth it to me. If you buy from the Shu website they offer free shipping, a 30 day satisfaction guarantee return policy, they give out great deluxe samples, and you can get an extra 5% off using Ebates. Shu does have a 20% off sale a couple times a year.
Kolinsky hair is a very rare and expensive sable. It is super soft but, still firm, it works just as well with powder and cream products and brings out the brightness in colors. For instance, if I apply my MAC painterly paint pot with any other brush it looks like my skin color. When I use my Shu Kolinsky, painterly comes out pinkish. I have also found that I don't get any fall out from powders and everything applies smoother and lasts longer. I have owned a few Hakuhodo Kolinsky's but, Shu seemed like they had more hair and were just nicer. Hakuhodo no longer has Kolinsky's on their site and they were only offered in their S series brushes. If you do enough research on Hakuhodo, others have mentioned that their brushes are too soft, as well.
And one more thing, I am super picky and detailed. So, I really notice everything little difference in products. Others might not care as much.