I think there are a couple reasons:

1. Stock wheels are often crappy on mid-level and entry level bikes
2. It's relatively easy to change out a wheelset compared to say a whole new drivetrain

Anyway if you have a crap set of stock wheels on your entry level bike you will get the most bang for your buck with a nice set of hoops.

OTOH the differences with wheel upgrades are often modest so you should not feel compelled to get a new set.

Start out by getting good TIRES, the stock ones are often crap and you will love the ride if you get, say, a set of Conti GP4000s tires.