I am posting this here before reporting it straight as a bug, in case I am missing something. But it appears broken to me, at least in 4.8.2.
If I try to map Mouse Wheel Up and Mouse Wheel Down as Axis mappings, they don’t produce events. They work fine as Action mappings, but I want them as axis mappings instead.
In the attached image you can see my input setup. The Page Up and Page Down keys fire the event exactly as expected and work perfectly. The Mouse Wheel however does not.