They use magnesium chloride out here in colorado. Its a liquid and contains no hard pieces. They do drop sand out here in intersection and on steep hills to help with traction. The salt or mag-chloride doesnt hurt the finish on wheels. Well not wheels made in the last 10 years or so. The physical pieces on the road will chip wheels though. Chrome only needs to be cleaned and polished after winter to bring the shine out of them.
The main reason people swap wheels is they have a factory set with all season tires on them and their aftermarket wheels are usually bigger with lower profiles tires on them. 9 times out of 10 these tires are summer performance tires. They are worthless in the snow. The risk of losing control and tearing up a wheel on a curb or in an accident is the main reason to swap. I wouldnt worry about the chemicals they use on the road messing up the finish on your wheels. Most wheels are painted and cleared with the same finish a lot of cars have on there bodies.
