"Does it make sense for us to get a separate supply valve for each head if we aren't going to use them simultaneously? "
No. You can save money and wall clutter by using a single valve with an A/B diverter.
"Also, what is the advantage of having thermostatic shower over a pressure balance system."
Temp control during use; in general, thermostatic (TS) will hold the temp to about +/- 1 degree of its original setting, pressure balanced (PB) +/- 3 degrees. Both provide the required anti-scald protection in case a toilet is flushed, washing machine kicks on, etc.
Max temp control: Both valves usually have some sort of maximum temp setting, although how they work can differ:
PB valves usually have a mechanical limiter. Meaning when setting the valve up, you turn the shower valve on so the water is at the maximum temp you'd want to come out of the heads. You then turn a set screw until it bottoms out, that set screw then limits the valve from being turned past the existing valve setting. It only limits how far the valve can be turned. If you then went to your water heater and upped the temp 20 degrees, you could get scalded. If you turned the water heater down 20 degrees, you'd be taking cold showers. Again, it's generally a mechanical stop that limits the mix or the hot/cold ratio of the water, it doesn't control the water temperature itself.
TS valves actually control the water temp. You decide 104 degrees is the max temp you want, you set the limiter to 104 degrees. Turn your water heater up or down, the valve will not let water over 104 degrees out of the shower head.
Volume versus temp control: PB generally has one knob that you rotate, and it's essentially a temperature selector. For the most part once you turn the valve away from OFF, it's fully on. All you're doing with the in between setting of the knob is selecting temperature. You want a trickle flow of warm water to gently rinse your baby's hair? If you crack the valve just a tad to get a trickle flow, you're at the "cold" temperature setting. In order to set the valve to a warm temp position, you have to rotate it so it's fully open which will give you full volume. You can only get full blast warm or hot water, not a trickle flow.
TS has independent selectors, a temperature control to set the temp and a separate volume control to select volume. Trickle flow of warm, hot or cold, medium flow, full blast, you can get whatever you want.
You'll see references to "set and forget" temperature setting with TS valves, you can do that so you don't have to search for that desired temp each time you turn on the shower. With PB, most people can easily replicate a desired temp by rotating the valve to the same "o'clock" position each time they shower.
The water volume drop that you note through your PB valve when someone flushes a toilet is the valve doing it's job...the cold water going into your refilling toilet reduces the incoming pressure of the cold water at your shower valve, so to "pressure balance", the valve then reduces the pressure of the hot water coming through the valve. By choking down the hot water, it reduces the volume of water through the valve, but maintains the temp within roughly +/- 3 degrees of the original setting.
Because you have a noticeable pressure drop out of the shower when a toilet is flushed, I recommend you get a TS valve. Mo' beddah for you.
If you need a starting point for your "all-in-one" search, look at the Hansgrohe Thermostatic II1 valve. There are others out there, the HG TSII is just one version of a TS valve with a built-in A/B diverter.
Another alternative would be a diveter-less TS valve that feeds a simple separate A/B diverter.
If shopping online, don't forget that you'll need a valve body AND a valve trim kit. Some sites are a little vague.
Q
wall mounted
Q