well, it costs a bit extra to get the tyres taken out of the rims and put the new ones on. ( for example, 20 CHF per tyre to change, 5 CHF extra if the rims have to be changed, too)
and with different rims in each season pack, you can go with different size tyres in winter, that are safer than your summer tyre sizes. also, you might want to keep your nice summer rims away from the affect of mud/salt/snow on the roads (not necessarily too much) some people go with the cheap steel rims in winter for this.
oh yeah.. and your automobile manual would tell you, what the maximum size for your tyre would be in order to put chains on. ( you don't really need chains unless you wanna drive in the mountains) so, for winter you might want thinner and smaller tyres.
but if you like the looks of your wheels, you might wanna have nice rims on ;-)
i am using the same set of rims for all, as i keep scratching them