I feed my horse whole flax seed because I prepare a week's worth of grain at a time for the feeders at my barn to give to him, and flax seed starts losing its nutritional value very quickly after being ground.
If you can grind it fresh every time you feed it (or buy stabilized ground) then that might be a better way to go, but after reading up on it a bit, I decided that he was probably getting more out of the whole seeds than week-old un-stabilized ground.
When you feed whole, they will absorb the nutrients from the seed through the hull, but you will still see whole seeds in the manure. Some people think this means that nothing is getting absorbed at all. I don't think that's true, though I can certainly see how they might be able to extract more out of freshly ground flax seed.