For running, VO2 max pace is roughly the pace you could run at for an all out effort of 8-10 minutes, so events that are within that range or a little on either side of it will benefit from having a high VO2 max. I think most people who understand the science would say this means 1500m - 10,000m, though there are other factors that also have high influence at 1500m and 10,000m (say max sprint speed for elite 1500m runners and lactate threshold for 10,000m runners).
VO2 max training might be called "expensive" because it is grueling work and not stuff any runner should be doing a ton of. It will also erode your lactate threshold ability if you do too much of it. This is important because science has shown that lactate threshold is actually the single most important factor in distance running over a very wide range of distances, part of why Lydiard's athletes did so well, even the shorter distance ones.