It's not a law, but if you ask me it should be, and for good reason. Unevenly torqued wheels can cause uneven brake pad deposits, irregular brake and rotor wear and eventually can contribute to the dreaded virbation during braking. If the wheel isnt secured properly it can immediatly cause a vibration during normal driving conditions that can be misdiagnosed as a tire issue.
If you've ever had to strenuously push a car down a street then you can appreciate the forces involved when your car can accelerate to 60 mph in a few seconds. Think of all the shearing forces involed on the wheels when the motor is basically trying to twist them off the car. It's thanks to your lug bolts, or studs/nuts that they don't twist off, and the force is transfered to your tires and eventually the ground as you rocket off the line. The same, if not more, can be said for braking and the massive forces put on the lugs.
We need to make sure the lugs are in the best condition to secure the wheels to the vehicle. First things first, make sure you have the correct lugs for the wheel and vehicle. When securing the lugs to the vehicle, make sure the studs are not loose and the threads are burr-free. If necessary, run a die or a brush along them to clean the threads up. Most wheel torque values are specified dry, so keep that anti-seize off the theads.
If you don't have one, an Adjustable Torque Wrench (shown at left) is an important tool for any car nut. Make sure you have the proper torque value for the vehicle that is specified in the manual.
But even if everything was properly done up to this point, it could be all for naught. The lugs must be torqued evenly. Torque in a star pattern so no adjacent lugs are tighened sequentually. Some people may snug all the lugs in any pattern and then torque in the star pattern. This may still yield a good torquing but consistency reinforces behavior -- always snug in the star pattern as well.
Paying attention to your wheel mounting surfaces, hardware, and then tightenting the lugs in the star patterns shown above means each lug will get about the same number of rotations ensuring the best chance for a properly mounted wheel.