This problem can be produced by adding the event handler by script (displayAddEventHandler) or in the dialog class definition (onMouseButtonDown).
SQF : (findDisplay __ID_DIALOG__) displayAddEventHandler ["MouseButtonDown", "player globalChat format [""DOWN : BTN %1"", _this select 1];"];
OR CFG : onMouseButtonDown = "player globalChat format [""DOWN : BTN %1"", _this select 1];";
The attached mission file shows the mouse wheel working on inGameUI, then not working on two dialogs (displayAddEventHandler and onMouseButtonDown).