I have tested a few low end motherboard recently for Z170, and there is room for improvement in the VRM. I can hit the same overclocks, but even with high speed fans going I can still see much higher VRm temperatures spread across much larger region than with higher end OC boards. That being said, you don't need to spend $400+ on a motherboard that will suite any OC of the CPU, I would say anything above $170-200 should suite you as well on air/water. While Skylake doesn't use that much power compared to before (you can pull around 115W at 4.5GHz compared to maybe 150 with Haswell (i don't remember Haswell's numbers off the top of my head, just estimating from my previous results)), there is still differentiation in heat with boards that cost under $150 and those that cost more. If you plan on OCing 24/7 for years then higher quality VRM will probably last longer since the components will run cooler. VCore will probably also be stable. Some lower end boards might also have some features locked down to ensure longer VRM lifespan (lower temperature thresholds/current modes). If you are on a budget I don't think you will run into issues as long as you have airflow over the VRM area.
That being said the VRm isn't the only important thing. Many lower end models cannot run DDR4 with XMP at higher speed (like above 3300MHz) with ease or with the same stability the more expensive motherboards. BIOS options are usually more abundant in more expensive boards, LLC is probably much better on the higher end boards too. The difference is smaller when you are just doing air overclocking, and like TwoCables said, the extreme guys will benefit the most, but there are marginal benefits that you might want to consider for running the system in the long term. Lifespan of a MOSFET is greatly reduced by 20-30C higher running temperatures, will the lifespan probably last long enough? Perhaps.
If you get a board with less strong VRM I have also seen heat from the VRM spread to below the CPU socket, and that would lead to higher CPU temperatures since heat likes to spread evenly through the copper and maybe into the pins.