I do not think that heating a protein would significantly decrease it's nutritional value. Heating is one way of denaturing a protein. When a protein is denatured, its secondary and tertiary structure is altered. When a protein is denatured, it loses solubility. The best example is the raw egg. It becomes solid when heated. Whey protein will become stiff when heated. The amino acids (primary structure) are still present, but their shape (secondary and tertiary structure) is altered. If you heat 30gms of protein, you still have 30 gms of protein after the heating process is over. Denaturing protein can increase the digestibility of the protein. The original (unheated) structure of the protein may be more resistant to enzymatic digestion by the GI tract. The heated protein is more readily digested. Of course if you overheat and burn the protein, the amino acids (primary structure) will be destroyed with loss of nutritional value.