It doesn't change the range, but it changes the calculation used for range estimation. It even says it right in the wheel change window. I can't watch right now, but in this video I tested it and the different calculation meant arriving with ~3% less battery with 20" wheels on the TM3 vs 18" wheels if I remember correctly.
The calculation difference with different wheels has always been a thing, but with this update Tesla allowed us to change the wheels ourselves. Previously, only Tesla could change the wheels in the software.