Does it matter if I necessarily feel a muscle with a certain exercise? Do it anyway?

I am programmed for split squats but I feel single leg leg press WAY more in my glute, like the burn is palpable.

But I’m told just because I don’t feel something doesn’t mean it’s not working.

Should we do exercises we can really really feel working or is there a place for exercises that we don’t necessarily feel as much but are sworn by?