Many of the wheels have their pivot at the bottom, this means you can't rotate them without first editing the imported model and putting the wheels under an empty parent.
The pivot point is always placed in such a way that makes building easier. For (vehicle) wheels I've chosen the center, to (as you mentioned) make it easier to rotate. However, since the train wheels wouldn't change when rotated anyways I decided to place the pivot at the bottom making it easier to put together instead.
