Isn't the entire point of AMT to allow out-of-band system management? If it relies on the OS to connect to Wi-Fi that would seem to kind of defeat the purpose. Is there any evidence AMT works on Wi-Fi for anybody? I tried pinging my laptop from another machine on the ports listed here and I didn't get any response over Wi-Fi, so I'm not sure how to interpret that.
Generally these things don't work over WiFi because the special back-channel between the NIC and the management CPU isn't there for WiFi NICs. But as others have said, it is in theory possible if someone were to build the required communication path into their NICs.
