Keep in mind that mistakes were made at the assembly plant and it wouldn't be the first time that a build sheet did not match the car. As stated, the standard practice for Ford was that if a car had painted wheels, then the dog dish caps would have come with it from the assembly plant. I am only familiar with this for '68 production, but since your car is a late '67, appears that maybe Ford started this practice earlier.
Of course, if you intend to show your car judged by authenticity rules, then you would have to show paperwork that your car was delivered with full wheel covers on painted wheels. This would mean you would have to have an original invoice.
I would suggest that your wheels might have been painted by a previous owner like Jeff mentioned. If you get a chance, look at the back of the wheels and describe what you see. Will help determine if the paint was factory-applied.