We humans are in a similar situation to deep-sea crabs, our substance is just less dense. There are still currents (wind), pressure, and creatures that can propel themselves vertically for reasonable distances (birds).
If a species that could move vertically (birds/fish) did become the apex species, consider how much effort it would be to move high enough through their substance, capture less-dense material, and pull it down to attach to things; vs just pulling it along on rollers. It might work well in the shallows where the vertical distance is small, but wheels would make huge swaths of the seabed easier to colonise.
The problem of wheels sinking into silt can be overcome with roads or rails, just like we have colonised coastal deltas, sandy deserts, dense forests and so on. It only takes a few creatures putting down rocks to help their carts along over bad ground for the idea of roads to form.
Given the currents near the surface moving silt around, there might need to be some innovative kind of material that allows the silt to wash through but keeps wheels elevated (a lattice? sponge-like? Rails more popular than roads?). Or just something simple like street-sweepers.
Given enough technological advancement, it might even be preferable as a short-distance transport method. Consider a salaryman taking a train for the convenience of using a laptop, even though he could drive himself in a car, or even walk if it is a local tube network. They'd have the added advantage of being able to pipe in lower-resistance substance (air) for trains from the shallows, whereas we have to make special vacuum pumps to get lower resistance for things like hyperloop.
As for the possibility of never using things too heavy for a few creatures to carry, it would make it a lot easier for a warring army  to protect their soldiers from attack if they could build structures out of large quantities of stone, relatively quickly vs burrowing into silt. A wheelbarrow would help for the feudal ages, and trucks are a natural progression. If this is a utopian society without violence, they may still want to build grand religious structures to honour gods.
 Conventional bullets won't work underwater, Mythbusters tried firing a 50cal sniper rifle through water and it "expended all its energy within three feet", for ranged battle an army would need torpedoes, dissolving poisons, 'air-dropped' bombs, etc.