I don't know if darker yellow/orange yolks are healthier, but I can certainly tell you that my taste buds say my free range eggs taste better than store bought. Hard to explain the difference, but I guess I'd say they have a richer, eggier (is that even a word?) flavor.
You could be absolutely correct, but I would think the free ranging helps, too. If I recall correctly, the eggs from our chickens when I was a kid (and that was a long time ago) had deep orange yolks and all we ever fed them was scratch.
Mine free range daily nearly all day, but are fed Purina layer pellets with occasional treats of mealworms, sunflower seeds, leftover veggies, etc. I think you can figure out which egg is store bought and which egg one of my chickens laid.