+1 ^
Many LHBS have their mill set quite coarse, even for barley. Chances are that wheat malt passed mostly uncrushed, I've seen it. Milling twice won't improve that. I crush wheat, rye etc. at 0.020-0.022". That's pretty tight.
Now when the wheat actually mashes as intended, you may experience lauter problems with higher wheat percentages, since wheat contains gluey proteins and no hulls. Adding an oz (or 2) of rice hulls to that recipe will remediate that. If you BIAB, a sticky mash is not as much of an issue since you can squeeze the bag.
You could do a 15 minute protein rest around 122°F to help break down that protein matrix, which also helps in exposing the starch granules better.