I had the same with the 01 wrx rims that i put on my foz. I tried all the hardcore cleaners that I use on a daily basis (including hydrofluoric) and it didnt shift it all. I tried metal polish also to no great success. I think it has something to do with the fact that the inside of the rim isnt painted. It just gets pitted and goes horrible. Also the ribbed finish doesnt help with the cleaning either.
There is the Mothers power ball which is attached to a power drill which might work.

At the end of the day once the rims are on the car you dont see too much of the inside of the rim anyway. If it really bugs you then perhaps sand blasting and powder coating is the way to go.