I've torn engines apart I know what I'm doing. That was the first thing I checked. I spent a whole week where on a daily basis I was unbolting them and retorquing them using different techniques, to the point of psychiatric levels of OCD anal-retentivenes. I would spend 15 mintues per wheel just carefully hand tightening lug nuts one by one in a star pattern then gently torquing them and triple checking the torque specs, wheels in the air or on the ground, didn't matter. I would even swap the spacers between left/right sides and ultimately had a shop balance my wheels with the spacers on. Nothing improved the vibration.
I believe they were out of round somehow. And to be honest, the vibration was minor, to the point that random friends riding my car wouldn't even notice when I asked them, but I sure as hell did, specially since I got them when the car didn't even have 1000 miles on them and these things are silky smooth.
So I got fed up, went H&R and I was back to stock levels of NVH. Just holding them in my hands I could tell they were much much better quality.