They do (and it was the case with Bridgestone and others before Pirelli got the contract) but its down to the teams to ensure the wheels are then fitted on the correct sides as we see when the blankets go on with the directional arrows but I doubt very much that several teams would end up 'swapping sides' with the wheels and if anyone saw an advantage doing that it would be Red Bull who didn't have the issue.......
but its fitting of the tyre to the rim thats the issue and not the wheel to the car. If the inner designated edge of tyre is been fitted to outer odge of the wheel ( so effectively the tyre is the wrong way round) then this is where the issue happens at pirelli.