Tom, Gary Gillman here (gillmang) from Toronto. Your analysis makes a lot of sense. I think malted rye whiskey developed as a separate standard of identity because historically the first type was rye whiskey made from raw rye, using generally 80% of that and the rest barley malt. Later in the 1800's, malted rye became a distiller's option following technical developments which allowed rye to be malted and sold in quantity. Apparently Montreal, Quebec was an early center of this development. Because you see in old ads the name "Montreal malted rye" or "Montreal process" to describe use of this form of the grain. I believe if you used 100% malted rye or 80% malted rye and 20% corn or anything else, the taste would be quite different than is produced from a mostly raw rye grist. I think the taste is milder notably - there is an analogy here I think to Scots malt whisky which, all things equal, seems less oily and pungent than Irish pure pot still whiskey which uses unmalted barley as the base of the grist.
High West released a series of rye whiskeys, discussed here recently. Of the 3 ryes issued, one is not a straight rye but I am talking here about the ones that are, and they may have been made with malted rye. I say that because they have a soft palate that seems quite different from the typical (well-aged or not) straight rye palate - and the typical one derives from use of unmalted rye (e.g., Rittenhouse, Pikesville, ORVW 13 rye, etc.). I have only tasted the one that combines a 6 and 16 year old straight rye, both apparently made by Seagram in Lawrenceburg, Indiana in the plant now owned by Angostura of West Indies. It is a delicious but rather mild straight rye with a faint mango note. It seems reasonable to suppose it was designed for blending with products such as VO or 7 Crown, the hallmark of which is mildness, and therefore I wonder if Lawrenceburg used malted rye for this product.
To add to what Chuck said about malting and mashing: when raw grains are converted in the mash they of course will not have undergone kilning, and this abtracts out therefore the dimension of flavour you get from using a malt where germination was arrested by application of heat. You get the same result in fermentable extract both ways (except perhaps more so with unmalted grains since less of the extract was lost in the malting process) but the flavour of course will vary depending which is used. Other factors play into it, e.g., yeast selection, distillation method and white dog proof, but all things being equal, I believe malted rye will produce overall a milder palate than unmalted.
I am trying to remember if Anchor uses malted or unmalted rye. I think the former. While its products are pretty assertive, we must remember too they are marketed generally at young ages.