What is the purpose of group "wheel" on FreeBSD (FreeNAS) OS?

It's in the su(1) man page.

PAM is used to set  the policy su(1) will use.  In particular, by default
only users  in the "wheel" group can switch to UID 0 ("root").  This group
requirement may be  changed by modifying the "pam_group" section of
 /etc/pam.d/su.  See pam_group(8) for details on how to modify this set-

A very ancient version of the man page said:

Only users  who are a member of group 0 (normally "wheel") can su to
"root".   If group  0 is missing or empty, any user can su to "root".

This allows you to control which users can su. It is not likely that you want every single user of your system to be able to su.