They could be functional somehow, but I don't think it's to keep the fly from rolling. A wingless wet is "in the round" and it really doesn't matter much if it were to roll. I also think that 1x gut leaders back in the day did a pretty good of that as well.
OTOH, they could be to push water -- winged wets are especially useful after dark. Even during the day, when fishing quill winged wets switching from a fly wings concave side out to one with wings convex side out, or vice versa, can sometimes make a considerable difference in catch rate.