I don't think that's strictly true; not unless some wheels use textures, anyway.
Some Standard cars have wheels that are the wrong colour in GT5, but were fine in GT4 - many of these are the same generic grey colour. This suggests to me that they can be treated exactly like the car bodies and have practically any colour applied to them.
Additionally, I remember from GT3, when scrolling through the colours in the dealership, it used to blend between them, rather than "snap" instantly (it looked pretty cool); for those cars whose wheels changed colour with the body (I think the ZZ-II was one), they used to blend, too, rather than ping; the blend "animation" was different to how it would look if it were just blending two textures.
In short, there seems to be no real technical reason why the stock wheels cannot be painted, on either the Premiums (of which there is direct proof, above) or the Standards (less immediate, based on differences in the cars between games).
The real reason, as mentioned, is probably manufacturer Angst / control compulsions (Ferrari...) etc.
It's listed in the
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