Well for starters, you can't replicate the flavor of crystal malt without malting a grain, and at least with millet, the flavor of the roasted grain is also quite different. I notice it less with buckwheat and sorghum; there may be some difference, but the flavor of buckwheat is so mild it's hard to tell, and with sorghum you get "the taste" no matter whether you malt it or not.
But yeah, malting does alter the chemistry (protein content in particular), and mashing makes a difference as well. I'm going to post some more details on this later, but I did a trial recently comparing the flavor of millet malt that has been gelatinized at high temperature without mashing first, and then adding enzymes to it, vs. millet malt that has been mashed at 163°F first. There is quite a difference in wort flavor and clarity and hot break behavior, even though both pass a starch test.