My take is it depends on the wheel manufacturer, the size of the wheel and the quality of rubber you put on them. I've had 19" knock-off wheels on a 2007 Volvo V70R with off brand performance tires (this setup came with the car when I bought it) and I had issues with them. Within a few weeks of having the car, I hit a larger than normal expansion joint between the road and a bridge (couldn't miss it as it was the entire lane, it was dark and I was doing 65mph+ on the interstate). The V70Rs aren't known for being light or having all that good/responsive of a suspension, but I ended up bending 3 wheels, one badly enough that it had to be repaired while the others were balanced out with wheel weights. I think part of my issue was the wheels were a bit soft, the other was the tires were a bit cheap/didn't provide good protection on impact.
On my 2007 S6, I'm running 18" knock-off R8 wheels for my winter setup with Blizzaks on them. The S6 isn't a light car either, but I've had no issues with the wheels and I've been running them all winter, but there is a lot more tire between these knock-offs and the 19's I ran on the V70R.
If it were me, and I was going 19" and above, I'd probably go knock-off to save the cash and make sure to get good quality tires with good sidewall support. If you bend a wheel, it's going to cost you at least $100 to repair, and depending on the bend, the repair may damage the wheel surface and then you are having to refinish, which adds more cost. If you're running 18's or smaller, I think you have less to worry about as there is a lot more tire to deflect a bad impact.
At least that's my $.02...
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