Is there any flavor difference in heated sugar (e.g. cotton candy)?
What Rincewind42 says about caramelization is true in itself, but it doesn't apply here. Cotton candy is made from sugar syrup at the hard ball stage (130°C), so too cold for caramelization. Caramelization only starts occuring at 160°C and above. In fact, caramel has a very different texture from sugar, so it is practically impossible to spin cotton out of it. It makes spidery, unendly elastic strands, unlike the brittle cotton candy strands. Plus, it is visibly brown, and tastes very different from sugar, so you'd notice it when eating the cotton candy. 

The flavor of cotton candy is indeed sugar (unless it has had something else added). But taste is not the same thing as flavor. Things taste different to us based on texture, aroma, color and food name. (I once read about a study made with unusually colored puddings. People who had eaten cherry pudding with yellow coloring were sure they are eating banana or lemon, and they were convinced the pink vanilla pudding was strawberry). So it is entirely possible that a gelato customer who eats a gelato called "cotton candy", has lots of sugar and is painted a pastel color will perceive it as having a different taste from non-flavored ice cream which has lots of sugar, but not the color or the name, especially if the texture of the "cotton candy" flavor is tweaked a bit.