No - it does not corrode or damage them.
As I tested locos on my new Atlas track this morning, the three I had run alot near the end on my Fastrack all had an impressively bad cases of dirty wheels. I caught all cases before running them but tried one (my conv Atlantic anyway). It would power up in neutral and make the sounds it should and show its lights, etc., but would not move although it would try (its headlight would dim). I'd seen that before and it is a sure sign of dirty wheels. This was the worst crud I have every seen, and I think it is "Simple Green Goo" that the wheels picked up.
See photo below. This crud was very visible and not the usual stuff - I've never seen recent locos with wheels this dirty - it looked positively three dimensional in places it was so thick (note on the Atlantic below - the driver should be a very shiny silver, as it was once cleaned). This crud was very easy to remove from drivers - a mere swipe or two with a iso alcohol wetted Q-tip was enough; and not hard to remove from bogey and tender wheels - maybe a dozen passes. But it was very hard to remove from rollers - again, I used only Q-tips, but it took time. All the wheels and rollers looked completely undamaged when cleaned, and the locos ran fine in all three cases.
Below is a picture of the drivers and a center roller on my Lionel conventional Atlantic