When you subject whey protein to high heat, you permanently modify the protein structure, and the protein is denatured and so has little or no biological activity left. Taste and even texture may change slightly, but you still get the same amino acid profile as in the undenatured whey protein. The net amount of assimable protein remains the same, some subfractions and enzymes are lost, that's all.
Raw whey protein contains biologically active peptides (eg., lactoferrin, alpha lactalbumin, immunoglobins, beta lactoglobin and so on), that have various health, weight loss, and muscle building properties attributed to them. A denatured protein no longer displays any biological activity....which means you don't receive any of the aforementioned benefits. The actual amino acid chain remains intact, and that is mostly what we are after. The subfractions are often already gone from processing the whey anyhow, and are only guaranteed to be in unprocessed whey concentrate.