for one you can't just look at the tires to see if the pressure is okay, actually check with a gauge
and the way they work (i assume) is they relate the pressures to each other, as opposed to just looking for less pressure than spec, so when one is off by a little bit the light comes on.
the reason i say this is because i thought i had gotten a nail in a tire one time, but actually turned out to be a tack. the place i took it to had done the proper testing, but left too much pressure in the one tire. so when my TPMS went off (at first i was pissed) i checked with a gauge and got like 5 or so more lbs in that tire than the others. so even though there were 3 with the correct pressures, the fact that 1 was uneven made the system burn the warning lamp (which i like to call the butt)
you'd better check all the pressures because you don't want 1 to be buggin out, they can be expensive to replace. and if you got your new wheels at a shop and they did everything for you, they might have messed something up with one during the transition from stock to aftermarket