Here's my understanding of BioBalls and Nitrates:
BioBalls themselves typically don't harbor nitrates (I guess they could in some situations), but typically it's the other components of the wet/dry that are more apt to have a larger contributing factor to nitrates. Such as the foam block that the water passes through after going through the bioballs (normally) or perhaps the prefilter (some kind of foam sponge, spun fabric, etc). These are the areas that typically have higher nitrates.
You may also see discussions on the web regarding taking the BioBalls out of wet/dry filters, this is typically posted by someone who has a good biological filtration (read live rock/sand) already in place. For a fish only system a wet/dry is a great way to provide necessary filtration. If you have live rock/sand in your tank, then the bio balls are redundant and can be removed if you so desire.
From the Conscientious Marine Aqaurist (Page 70-71)
The wet/dry filters effectively speed up the usual biological reactions and promote aerobic and anaerobic bacteria. For fish-only systems, wet-dry-filters continue to offer exceptionally good gas exchange and oxygenation, along with rapid biological filtration that can cope with heavy bioloads.
My experience is that wet/dry filters are a good way to boost your filtration and that after your tank is cycled and if you have live rock/sand can still be a great tool, perhaps just without the bioballs that are redundant to the live rock/sand.