There's nothing wrong with using malted grain such as malted wheat. Or malted barley, rye or any of the others.
It largely depends on the beer styles, recipes, whether traditional or deviations from them. Or your own recipe creations and specific flavor profiles you're after. There can be just as many reasons whether to use malted grain vs. "raw" (unmalted) grain. But you will need to incorporate an adequate amount of malted grain to make the mash work, or you're only making glue, or bread dough.
In some beers, such as Witbier for example, using a large percentage of "raw" wheat (at least 50%) is part of the style and gives it that unique "raw" wheat flavor and unparalleled mouthfeel.
A typical source of "raw" (unmalted) wheat is
flaked wheat, which is already pre-gelatinized due to the steaming and hot rolling process. Torrefied wheat is raw, hot air-puffed wheat, giving it that undeniable "hot-puffed" flavor, and traditionally used in British beers.
Whole, unmalted wheat (berries) will need to be crushed, then cereal mashed with malted wheat or barley (or any other high diastatic malted grain) before it can be used in a conversion mash. That's extra work, but if you use a large percentage of it in your recipe, the resulting flavor it yields can be worth it.
Similar for rye and basically any other grain.
As a brewer you can choose to replace some, most, or even all, with unmalted versions of the various grain varieties. As long as you have enough malted grain incorporated to provide the needed diastatic power to convert the whole mash it should be all good. A properly performed Iodine test will help determine if conversion has been completed, while a gravity reading will tell you how successful it was.
You can always perform (small) test mashes with a pound or so of an experimental grist mix, to see how well it does.
@bracconiere malts much of the grain he uses for his beer and such. Not sure if or how much raw grain he incorporates in his beer recipes. Maybe he can chime in on that.