I do prefer to toast my bread first but it is a personal preference as the traditional method of making a panzanella does not involve toasting the bread. In fact, you would normally soak stale bread in water before mixing it with tomatoes.  I do find the method of soaking the bread first causes it to break down too quickly in the panzanella. I like to have some crunchy bites in my bread salad so I like to toast it first. Not only better for texture but I also love the slightly charred flavour it adds.