Expensive is a direct English loanword used in Spanish, which makes it immediately recognizable and interesting for English speakers.
In the song, it's used to describe the protagonist's lavish lifestyle and high-end fashion, as in "Muy expensive se le ve la finta" (His look seems very expensive). This word choice highlights the blend of cultures and the influence of English in modern Spanish slang, making it a unique and memorable feature of the lyrics.
This is a character sketch, and the joke is how carefully it keeps its subject respectable. He dresses well and he wears a watch, and the band shrugs at which one: "Porte Rolex, porte Casio" (be it a Rolex or a Casio), because "Todo lo sabe lucir" (he knows how to pull it all off). The English word in the title turns up exactly once, in "Muy expensive se le ve la finta" (he's got a real expensive look about him), sitting beside an Alexander shirt and LV shoes like one more label to drop.
Then the song does what corridos do and starts defending him. "No andamos haciendo nada malo" (we're not out doing anything wrong), "Siempre firme pa' chambear" (always steady when it's time to work), so the weekend pisteada and the private booth at the club read as earned. The booth is "Escondido y calladito" (tucked away and nice and quiet), "Pa' envidias no despertar" (so we don't stir up any envy). The only real worry in three minutes is not the police, it's your friends: "Porque hasta el amigo más sincero" (because even the most sincere friend), "El que más dice te quiero" (the one who says he loves you the most), "Te puede fregar a ti" (can be the one who does you wrong). He signs off with a line your grandmother would nod at, "Los finos siempre andan con los finos" (the classy ones always run with the classy ones), and walks.