one is that when you are ripping a bunch of cds it is faster to rip and then batch convert. also if you are converting to multiple formats suchs as mp3 for a portable player then you can convert from wav to mp3 first then from wav to ape.
Surely there is an advantage if you're going to do mulitple formats - since all formats start from a wav you'd save one decoding for every additional format you used.
But for ripping to one format - it would chew through the CD's faster if you only go to wav and not encode, but by the time you factor in waiting for the conversions afterward, the overall processing time should be similar. The time it takes to encode is going to be the same either way. In fact it may be faster to encode on the fly, since you only have to handle the data once.
Either way, using secure mode is better for lossless since you get a report of the data quality. But that's going to slow you down at least 50%.