I originally switched to WAV due to very clear improvement in sound quality compared to LossLess formats
Since the lossless files are supposedly bit-for-bit, the only explanation I can come up for this difference you are hearing (and I have heard in the past in some instances), is that it takes some processing power from the computer to decompress AL, whereas the WAV file requires no decompression. Other than that they should be the same. But what I've been finding with computer audio, much like conventional analog audio, is that virtually everything you do makes a difference.