A few people I work with werent believers in coatings in general, so I told them to buy a small bottle of GTechniq Wheel Armor (C5) and get back to me. I still hear them rave about how good it is to not have to scrub wheels every time they wash the car.
On my truck, though, with the chrome covers on it...I didnt bother with a coating. They shouldn't corrode or rust, and when they get dirty I just use some Meguiars PlastX on the tough spots, otherwise car wash soap does the rest. I put a coating of Collinite Fleet Wax on them just to have something.
On the wheel barrels, though, I would use coatings any day of the week on any wheel. Just to reduce the amount of crud you can see but cant quite get to without actually pulling the wheels off.