They look "used" or a little wrinkled because the batting usually shrinks a little in the first wash. I think it makes them look wonderful. Personally I think unwashed quilts tend to look stiff, but when slightly wrinkled from washing look soft and cuddly.
I always wash first. It gets more of the sizing out of the fabrics, and also removes and dust, lint, animal hairs, etc. accumulated during the making process. None of us has a perfectly clean house!! Certainly not me!! :-)