The main advantage with profile rails is that they are preloaded. This means there is negative clearance between the bearings and the rail, so there will not be any play. It also makes any deflection linear and crucially, with rails with 4 rows of balls which are the type you should get, the load ratings are equal in all directions. Conversely supported round rails have little if any preload and the load rating varies significantly depending on the direction the force is applied since the open side of the bearing clearly offers less support. Ideally we would mount supported rails so they 'oppose each other' on Z, however as you say it's quite difficult to accomplish rigidly without a somewhat radical gantry design. Hence most people mount them both the same way round. If I measure the deflection when a force is applied to my Z-axis parallel to X the reading varies quite a bit, due to the uneven load rating.
However this is of course all relative - compared to unsupported rails the deflection is tiny. You wont regret using supported or profile rails on the Z-axis - ultimately depends on what you can afford.