Actually, I take the opposite view.
With CPUs getting faster and cheaper, I see no need to use WAV format. It doesn't load my system to decode a lossless file.
With a lossless file, you get the benefits of tagging. Also some type of error detection if not correction.
With WAV, no, there are no tags written to the files. You can use naming to have basic info but that's it. In MC, the library would keep any tagging for WAV files.
With APE, there is no reason to use anything except Normal compression. All levels are lossless, the only difference is in the final file size. Theer is not enough difference to make it worthwhile to use any setting than Normal.
I have no idea why MJ8 will not play APE 3.99 files, but later versions of MC use the latest APE releases. You could ask here or at the Monkey's Audio site about MJ8 and APE.