In airlines I have worked for the Priority tags do have significance.
Bags so tagged will be loaded in the Service Container, this is the one you will see outside the aircraft, on the right hand side, until the last few minutes, it is then loaded in the forward hold by the door and is first off at the next port of call. Usually it goes straight to the baggage hall and doesn't have to wait for the rest of the containers to form a 'train'.
Sometimes necessary to nominate two service containers for a very full load of F and J class. Crew bags often go in there too but usually come up on a different carousel.