With regards to your specific question, I would not use the word "advantage". Rather, I would say "peace of mind".
A THX Select Speaker will have a certain minimum of efficiency and an impedance curve which stays above a certain threshold such that a THX Select receiver will have no inherent problem driving them to ref level in the size of room THX Select was intended for.
I recall John Dahl telling me about a dealer who called them up all angry saying that THX receiver such-and-such was shutting down (protection circuit) when the volume was turned up near reference. "Woa!" John said, "What speakers are you using? Are they THX speakers?". "Er...no" the dealer replied, "they are (brand/model name omitted)".
THX looked into into it and found that the speaker in question had a terrible drop in impedance, can't recall the frequency, but the drop was down to something around 1ohm. The dealer connected a set of THX speakers and the receiver was fine.
This does not mean that the non-THX speaker was "bad", nor does it prove that the THX ones "sounded" better, nor does it mean that only THX speakers can be used with THX amps (I've used my Rotel THX Ultra amp with every single speaker I've had through here). What it does mean is that when you have THX connected to THX, you dont have to worry about it.
The other "peace of mind" item when using THX speakers with a THX front end is that you know the crossover will be "correct". ALL THX speakers, both Ultra and Select, have their own natural 2nd order rolloff at 80Hz which compounds with the processors' 2nd order high pass to form a perfect 4th order high pass which perfectly complements the 4th order low pass to the sub. My Paradigm Studio 40 speakers are basically flat to 40Hz which mean that technically, I have too much upper bass in the 50-70Hz range. My mains should be down 24dB at 40Hz for a correct splice with the sub but they are not. They are only down 12dB.
You can "cheat" a little here because there are non-THX speakers on the market which have close to the right rolloff. At least with THX you can actually get speakers that "fit" the crossover. Consider Yamaha: they traditionally have used a 2nd order high pass and 3rd order low pass. Letter of the law says your speakers should have a 1st order rolloff at 90Hz. And if by chance you can actually find such a speaker, the phase response of the sum would be less than perfect.
I'm going to get a hold of a set of M&K's THX Select speakers for a couple reasons. One is to prove that the TX-SR800 can deal with the lower impedance (4ohm nominal), the other is to see how my bass will improve.