Road alloys have a very heavy duty rim and the outer ring tends to be pretty thick too, mostly because road wheels have to take a lot of abuse over many years without cracking (aluminium will fatigue crack, steel never will). Even if a road-going alloy is close to the weight of steel equivalent, they have a lot of their mass a long way from the centre, so they have a much greater rotational momentum when spinning (and are harder to get spinning). Steels can give you better acceleration and better turn-in than most alloys because they have less rotational mass.