My explaination is based on what I have read from Nourishing Traditions (NT) so I may not be 100% 'on', but here goes:
Roasted nuts have been cooked and heated so the enzymes are 'dead' making them less nutrious. As far as the bad fats, it is true that when certain oils are heated, they turn rancid and this may be what she is talking about.
According to NT, you should soak raw nuts in salt water for 8 hours and then dry them (I dry them in the oven on very low heat, like 100). If you heat them over a certain temp (what is it, like 125 or so?) they 'loose' their health benfits. By soaking them, you making them more easily digestable.
There may be different thoughts on this. This is my understanding.