This is due to how Unreal does motion blur (or more specifically how it doesn't do circular motion blur), and they've taken the design decision to spin the wheel at the speed it should be spinning rather than spin the wheel slowly and give it a blurry texture.
This is an UE4 problem with fast spinning objects while Motion Blur is on. Turn off Motion Blur and the problem is gone.
Thanks for your help. Now the wheels look better, but Motion Blur is a nice feature by driving a train.