Getting the brickwall filter well outside the audible range is desirable, as most filters exhibit pre-ringing which obscures detail.
Using a bitrate higher than 16 is desirable because with 16/44.1 data, no 16-bit DAC can resolve all 16 bits (13 is considered excellent). A 24 bit DAC can resolve up to 19 bits (I know of no 24-bit DAC that can do 20 or better) which means you get all the resolution a 16 bit file can offer.
I find true CD-qualtity files to sound fine with upsampling to 96 and a 24-bit DAC. Hi-Rez files that are natively higher resolution than 16/44.1 might offer less chance of oversample errors, a lower noise floor (which won't make the file quieter, but might offer more detail) and less chance for data error in general, but I find it's very file-specific, and quite subtle at that. In many cases it makes no discernible difference provided you are upsampling the CD version to the same resolution.
On the other hand I don't see HiRez downloads as a waste of money. Digital files should be stored at the highest resolution possible. It's only a confluence of circumstances that makes this viable today; storage capacity is not a limit, the ADCs and DACs are common and inexpensive, and after 35 years of promises, the 16/44.1 file format is finally starting to sound organic instead of steely, and DACs need not cost in the four figures to perform at a high level.
Five years ago I would not have said that. I much prefer that people can download music in an uncompressed format without breaking the law versus only having lossy compressed files available online. The Labels have the usual motivation, of course ... to re-sell you your music library. So consider the entire exercise with eyes wide open.
I have done ABX testing with different file formats. With different components, it's not my idea of a valid test since there are genuine problems with an ABX format component comparison (not the least of which is many are not true ABX, and almost all use reproducing gear that I know isn't as resolving as my own home system, let alone what I can't afford)*. With the built-in speakers of my MacBook Pro I get about 40% correct; with my IEMs it's about 60%, and on my home system it's about 80%; I have achieved 100% occasionally.
I also find with different components (vs different file formats) that if I can spend some time listening in a relaxed state (like anyone would at home) for a while to the candidates a few weeks at least with music I enjoy, I can much more easily identify them in ABX with close to or at 100% accuracy. Which flies in the face of those who dismiss subjective evaluations, so right off the hop the ABX guys are hostile, but that's my experience.
* If you look up the history of audio, the systems of the 1920's were considered "perfect" by those who first heard them, the systems of the 1960's were considered "perfect" by those who first heard them, and there are people today who anoint some systems "perfect". It's a moving target. The one guarantee is that your children will be listening to higher quality audio than you are.