Children, lets all stop getting hot under the collar about this lol.
The problem with main dealers is that the service dept will need to bill the sales dept which affects their margins, which they obviously want to pass on to the customer so as to keep their margin at whatever the deal was originally.
However as GolfDave has stated, you have obviously got the wheels from elsewhere (giving someone else the profit from the sale) then if I was the dealer, I'd charge you to do it as well. If you'd bought them from the dealer then I'd expect them to be fitted free anyway.
Also, you're banging on about the 'customer experience' of picking up a brand new car and not having to fit the wheels outside the dealership. Surely it's not that far off picking up your brand new car and driving it home with the original set of alloys in the boot (and back seat that you've had to fold down) as well as a trolley jack, chocks, etc too (as well as getting them to the dealer in the first place).
My guess from reading between the lines is you want to sell the original wheels on and if you've driven on them you feel you might get less for them.
Unfortunately it's the way of the world where margins have become so tight that anything extra that costs them money (bear in mind you'll be taking up ramp space that could be being used by a paying customer) isn't included unless you negotiated it in the original deal.
Unfortunately (despite you spending money on a new car with them) if you want something for free, you have to do it yourself nowadays.