Sand paper might have been a better idea than a dremel, and aren't the rims aluminum not steel? Aluminum doesn't rust
I agree that rust should not occur if the wheels are pure aluminum; however, dissimilar metals in contact can cause the wheel to seize to the hub. It happened to my 4Runner with the original wheels; so some anti-seize compound was applied several months back to prevent it. Hopefully, Costco applied a fresh coat of anti-seize compound when the new wheels were installed.