Everything in SR4 is wirelessly
enabled. This means you COULD wirelessly connect them. It also states that you can turn the wireless off, or phsyically remove it, if you like - and can certainly use wires or skinlinks to connect your things together instead.
There have been a few threads on possible uses for a wirelessly enabled cyberarm... but I don't think anyone ever came up with one.
I think your players have it right, Joe Consumer might want his toaster/lamp/arm/car/toilet wirelessly enabled, but a Shadowrunner has more sense than that.