Wheat malt tastes, well, malty. Unmalted wheat has a much more neutral flavor, like other adjuncts. Really there's no reason to use torrefied wheat as opposed to, say, flaked wheat. Both are just unmalted, pre gelatinized wheat, but the price can be very different. If you're using large amounts the flavor difference is important, and different styles favor one or the other. German Weizen uses malted wheat, Belgian Wit uses unmalted. If you just want a little for head retention, like BrewBama said, doesn't really matter.