It's a fairly common misconception that hardening steel makes it somehow stronger or more resistant to bending, it doesn't. For the same cross sectional area, pretty much all of the more common steel alloys will have the same amount of bending strength hardened or unhardened. Or so close to each other it makes no real measurable difference outside a laboratory test facility. Google Young's Modulus for the lengthy details. As others have mentioned, incorrect levels of hardening would make the steel brittle. I suspect that's what was the cause with your toolmakers clamp File Handle. It's impossible to get very high through hardness levels without it also becoming brittle at the same time. Surface or case hardening does what the terms indicate, the surface layer can be very hard for durability and wear resistance, but the core is much softer and still ductile. Or you can heat treat to a lower level on the hardness scale, a bit less durability and less brittle, but everything is a trade off in engineering and materials. For what we do, toolmaker clamps made from unhardened and ordinary mild steel would be just as strong as something from even Starrett. They just won't be as wear resistant. But I doubt many of us could completely wear out one we made ourselves in a lifetime anyway.
On the better tool maker clamps, then no doubt the drilling and tapping is done before hardening, That hole and the threads would allow the same hardening to happen across and through areas that could be detrimental to the jaw strength and just how brittle it becomes. However they do it during the heat treating process, then no doubt that's something they address so it can't happen. On the much cheaper one's, that's most likely ignored and the steel quality, heat treating etc might well be much more poorly controlled. So in general, there's almost always valid reasons for the higher cost for something that to the eye appears to be exactly the same. But even the best manufacturers can still make the odd quality control mistake. The difference with that and buying new, it would be immediately replaced without any questions.