Unless theyve got some kind of wicked paint that never wears off and will take knocks and chips without a mark on it, then paint is no good at all for car wheels. If theyre recommending you dont powder coat, then either theyre not very good at powdercoating (powder coat is where you heat up the wheel and blast it with the coloured powder which then melts onto the wheel and coats it entirely, baking on) or they have some kind of indestructible paint that no-one else knows about.
Id bet on the former. A good powder coat can take a smack with a hammer no problem at all. An aftermarket paint job will peel off with a screwdriver...in some cases even your fingernail...
Find a powder coat firm in your yellow pages, theyre usually found on industrial estates and are used for any piece of machinery that needs to be tough and durable and not lose its finish.