| xMenace, white flour is added to whole wheat bread and mulitgrain breads to make it all hold together and not to simply crumble apart. And gluten is added for the same reason. Gluten is the natural, stretchy protein in wheat that binds the bread together. You could think of it as the rubbery glue that makes the bread soft and hold together instead of crumbly like a dry cookie.
Gluten particles are more "exposed" and available in very finely ground wheat, which is what white flour is--very finely ground wheat that's been bleached. Those gluten particles stick to each other as the bread is kneaded, like tiny ribber bands being stretched throughout the dough. Then, when it is cooked, those fibers stretch in the heat, making room for the expansion of bubbles of carbon-dioxide that have been released by the yeast as they eat the sugars in the flour. Those expanded bubbles are what make your bread light instead of a dense paste or hard brick!
If you want to understand how all this works, I really recommend making bread by hand a few times so you can see and feel the transformations--rather than having them go on in your bread maker.
You generally cannot make whole wheat bread without adding either some white flour or some gluten. As you say, it will come out like bricks. (Um, there are breads that are brick-ish yet still delicious, but theses are not used they same way USAmericans typically use bread.)
In the last three years there has been a widely planted red wheat that does have a high enough gluten content to be made into bread without addition of white flour. I have not seen this red wheat flour on the market for home bakers; I have the impression that it is all being bought up by the humongous bakeries like Continental- Wonder Bread, who like the wheat because they can make a whole grain bread that comes out as light and fluffy as the typical American white bread. Therefore they can sell it to people who think they should eat whole grain for health yet who really only like that nasty (sorry, personal opinion) white Wonder Bread. But anyway, I haven't seen the red wheat flour in markets, but the internet is a wonderful thing, eh? I'm guessing that red wheat ground that finely would raise your BG just about like white flour would anyhow.  | 
