Wheel rims are often where the real benefit is when it comes to increases in speed and lightness. The components used - whether they're aluminium or carbon fibre - are predominantly in the rim where the maximum benefit is. The lighter a wheel is, the less weight it takes to rotate it making it easier to transfer the power from the pedals into speed on the road.
The depth of a rim is where the real aerodynamic advantage can be found, with the deeper rims allowing for better aerodynamics. Deep rims used to be the arena of TT bikes exclusively but with advances in technology and the era of 'marginal gains', they are making their way into the aero road bike niche.
Whilst deep rims provide better aerodynamics and as a result, speed; they do compromise some control over the bike's handling. Which is why you don't see filled wheels on road bikes like you do on the track, TT notwithstanding.