It’s handled within code in Class’/Script/VehicleGame.BuggyPawn’ and you’re looking for these two functions in particular:
Basically VehicleDustType’/Game/Effects/Blueprints/Wheel_fx_default.Wheel_fx_default’ is a custom DataAsset for the different wheel FX specific to a surface, and code detects what surface a wheel is on and uses the corresponding FX to be spawned on a wheel.