Yes, some wheels are stronger than others. This does not mean that your less expensive wheel is not as safe as a more expensive wheel.
Wheels are designed to meet specific design and cost criteria. They can be made of either aluminum alloy or steel.
Steel is generally the most cost-effective material to make wheels from. It is quite durable, but susceptible to rust and is typically heavier than an alloy wheel.
Aluminum wheels can be manufactured via several differing methods, and those techniques can increase the overall strength of the finished product depending on the methods used.