Aluminum is anodized. It is a coating that is like paint, but harder, and much thinner. It is applied electronically, similar to how chrome is applied. Some anodize (like hard anodize) will actually penetrate the aluminum surface, and is really durable. But those nuts are definately not hard anodize. It will wear and flake off and scratch just from putting tools on them.
Black oxide steel is basically a form of rust. It changes the outer layer of the steel to an oxidized layer. Much more durable all around.
If I were just going black wheel nuts, I would definitely use steel. Unless you're a racer where every tenth of a gram matters. The aluminum stuff is mostly for bling. Like if you want flashy red wheel nuts. Those you're only going to find in aluminum.
It's not so much which material though. It's just the price that I see a problem with. They are buying those nuts for pennies, and ripping off the folks that don't know better because they are for a "particular RC". That price is just ridiculous. I buy all my hardware in bulk. Much, much cheaper. And having spares comes in very handy.
A prime example. Green slime is sold in the RC world as a lube for shocks and such. It's like $10-$15 for a tiny blob that would barely fill a tablespoon. But in actuality - its simply rebranded Polymer 400 tractor grease (factual info here). It costs around $20 for a caulking gun sized tube of polymer 400.
Bottom line, don't buy hardware from RC companies unless you just don't care to throw money away. And if so, I will gladly send you the address to my trash can