My understanding is that, unlike live rock, biowheels don't foster the bacteria that is needed to convert nitrates into nitrogen gas. So - like bioballs in a wet/dry trickle filter - they will efficiently process ammonia into nitrates but not provide any denitrification. The nitrate just sits there and accumulates until you remove it manually through water changes. Live rock and deeper sand beds supply the kind of anaerobic zones you need for denitrification to occur, which helps reduce the problem of accumulating nitrates.
Now, nitrate really isn't a big deal for fish, so that's fine in a FOWLR. However, invertebrates like corals are more sensitive to nitrates and so we want to keep nitrates low in a reef tank, which makes biowheels and wet/dry trickle filters not quite as helpful for us (although they will still do an excellent job of processing ammonia up to that point). So yes, they do work, but it depends on what job you are looking for them to do.