Of course, unwrought wood leaves more natural feeling, but it leaves better space for germs to grow and proliferate.
Especially in early age, toys are tasted and nibbled – they are always moist. And raw wood sucks up this moist and creates good environment for germs.
And other point is, that colored wood is easier to clean. One wipe drawn and all mosaic of fingerprints, food and other dirts are gone.