There is a difference in primers but from what I can tell ( I'm certainly not the Great Guru of Handloading!!)it's only an issue if you are running max loads or if your results (FPS, SD) are not what you want or expect, especially if you are a Benchrest / Long Range shooter. If you have a favorite load that isn't near the limit of pressure and common sense - you can probably exchange one mfc primer for another.

I wish I was a good enough shot to care if my primer was Winchester vs. Federal!!!