A couple of years ago, 3 days into a 4-day trip I suddenly noticed a groove worn into each of my rims (they were quite new wheels).

After anxiously checking my brake blocks for embedded flints etc. I realised that the grooves are actually wear indicators. When you can't see the groove anymore it's time to get new wheels as it means the rims are worn to a dangerous degree.

I think the reason I noticed them when I did is that the brake blocks had started to wear significantly and leave black smears on the rims, and the black rubbery deposit made the grooves show up. When the wheels were brand new I didn't notice them!