They should move with the tarmac underneath them, or at least not against it.
He was sliding, so the fiction between the tyre and the road wasn’t high enough to avoid the spinning of the tyres. It’s like being at the bottom of a hill, and trying to accelerate hard. You’d spin the tyres, but you’d be going backwards. Once the friction gets high enough, you’d then start moving fowards.
That’s what happened to Alonso’s front wheels there. He was carrying too much speed, so the grip wasn’t enough, so he spun off and the wheels kept spinning because… well, because there was not enough friction.
It’s a case of the speed the wheel was carrying and not being able to put it on the road, not that he had some sort of AWD system in his car.
I guess it’s difficult to explain, but it’s a simple Physics I exercise :P.