The only advantage to machined sidewalls is that if the rims are color or hard anodized or otherwise painted the pads don't mar the colored surface - the machining has removed it for you.
I had a pair of wheels with Mavic MA-40 (I think) hard anodized rims in the late '80's; they looked fine out of the box, but a few hundred miles later the sidewalls looked just plain nasty from the hard anodizing wearing off at the brake track. If they had been clear anodized or polished aluminum they would have looked quite spiffy.