Its correct in saying that alloys don't rust, but they do corrode, rust is corrosion, so maybe thats where the confusion comes in.
The answer in both cases would be no, wheel cleaner would not remove rust on steel wheels or corroson on alloys.
On steel wheels if its light rust / rust specks try T-Cut, failing that sand them down and paint them.
On alloys it depends on the finish, polished ones can be cleaned off and re-polished using metal polish such as peak or auto glym metal polish, painted wheels can be shot blasted clean and re-painted professionally or if the corrosion is not too bad then you can buy DIY repair kits wich come with paint and lacquer in them.