The following is mixed with information, facts, and my opinion.
Decompression is a real concern for fishes that are captured at depths below 25-40 meters. Fortunately, most of our common ornamental reef fishes have a rather great depth range such that, the ones captured and kept by hobbyists and aquarists are in shallow reef waters. Fishes deeper than this are not part of the trade and, if they are introduced into the trade, do not do very well.
For example, the Tear Drop Butterflyfish can be found at a variety of depths. The collector would not want to have to go deep to collect the fish since it causes problems (i.e., greater time and expense) for the collector/diver -- not just a decompression issue for the fish. Also, fishes that are living at such depths are not tolerant of much light. They don't make good aquarium additions where we like to bring out their colors with bright lights. So, in this case, the Tear Drop is collected in shallow waters. It is offered to aquarists at 'reasonable' prices.
Other fish, such as the Tinker's Butterflyfish are mostly found at greater depths. They are expensive because of the expense of having to go deep to collect them. They are not easy to find in the trade. A collector can collect one Tinker's or a few dozen other fishes in the same time at less expense, making more money for the others than the single Tinker's. Tinker's are NOT rare -- they are just less collected because of the collector's economical perspective.
The bottom line is, IF the fish did come from great depths, then the price of the fish should reflect this. If the fish is very inexpensive and yet supposedly came from a great depth, then it is likely the fish didn't come from that depth (even though the seller is making such claims).
Fish collected at great depths do require proper decompression and this adds to stress, more time spent without foods and nutrition, and results in the lesser likelihood of captive acclimation. Collectors run a business and the fish are commodities which, if they are dead, only serve as food. Thereby comes the recommendation, 'Leave deep sea fishes in the sea.'