"I knew they couldn't even have taken the wheels off because they didn't have the key for the wheel locks."

Not to dispute Steve's advice that experienced techs actually don't need to take the wheels off to read the rotors...

I think dealers may have some sort of master wheel lock keys.

There's no wheel lock on our W124. But our family van does have such and we never need to hand the wheel lock key to the dealer -- they're still able to take wheels off to rotate tires, etc.