In wide or conquest games when there's powerful resources in the 2nd to 4th rings from the capital, it takes a long time to expand there naturally. Purchasing things in the 3rd ring costs about 200-300
per tile, so immediately acquiring those tiles is worth several thousand gold... in theory. Why is is the value perceived as lower in practice?
Well, there are several reasons why I wouldn't use Stonehenge in wide or conquest.
1. I probably only need one or 2 of those tiles. I can afford to just buy 1 or 2 tiles, they don't cost that much.
2. If I went wide, I would just build a new city near those resources.
3. During the time I construct Stonehenge, I'm not building a worker to work the tiles I claim with Stonehenge anyway.
4. If I go wide, I won't have the population to work those extra tiles at my capital anyway. Usually the capital has enough good resources that it doesn't matter if I wait a bit to grab the last ones.
5. I would rather build a different wonder.
Personally, I rarely go wide (and never conquest). I almost always go tall, and Stonehenge is totally useless for that.
EDIT: Gah, you edited your post so now I feel like I didn't answer your question.
The Colossus I build because the +8 gold per turn works without population, and the +1 gold/tile is useful later. Great Lighthouse is the same way, the free lighthouse is nice now and later, and the Merchant is pretty sweet.
Stonehenge gives you bonuses now, when you really aren't ready to use them. Usually by the time you're ready to use them, you would've grabbed the tiles normally anyway, through new cities, culture, or purchase.