We haven't picked up the Shelob set yet (but hope to soon), but my daughter and I have been going through the LEGO site and looking at the various sets and videos. In the LOTR section, if you watch the video for the Shelob set, the designer explains that the wheels were put on there because they found that when kids were playing with that set, they tended to just "shove" Shelob flat to the ground (instead of up on the legs), and they thought they would add those wheels on for when kids would slide her back and forth, instead of having constant scraping. Anyways, that's what the video said, so maybe that helps to explain it.
I'm hoping to be able to pick some of these sets up sometime soon. We got some of the Hobbit sets for Christmas, and those are great as well, but I'd really like to dig into more of the LOTR ones (we just have the Gandalf arrives set). Despite only seeing the "good guy" parts of the LOTR movies, and the trailer for the Hobbit (no Orcs/Goblins for our little one), our daughter has been obsessed with all things Middle Earth lately, and the LEGOs have really taken the top spot as far as that stuff goes. Hope to pick up the Shelob set this weekend if we can find it (a lot of our stores are pretty bare for LEGO stuff since Christmas), and if I had the money, it would be nice to get the Mines of Moria set.