This phrase is usually used when you talk about such thigs as love, health, family and so on. for ex: "Lubov' doroje zolota" - "Love is more precious than gold". In this context to the word "doroje" is more suitable "precious", cause "expensive" and "valuable" are used when you talk about money or smth you can buy.

more valuable than gold

more expensive than gold

Как часть пословицы, например можно сказать " Хорошая дружба дороже золота" . Скорее всего в песне фраза дороже золота звучит как не обозначение чего -то дороже золота, а какого то отношения или чувства. Удачи!

it means when U appreciate smb or smth very much