If it’s still unsolved and for anyone who might need a workaround to make Key Selectors accept mouse wheel actions.
I hope they’ll fix it in the upcoming 4.26, but for now I’ve come up with the following solution:
Override On Mouse Wheel function:
In the widget blueprint, create both events for the Key Selector and one custom function with a bool input (Set Mouse Wheel), and create one bool variable (Is Pressed):
In the overridden function, do this:
Set Focus to the parent forces the On Is Selecting Key Changed to fire again and subsequently call the On Key Selected event. I haven’t found another way to force call this event, so if someone knows how to do that without changing focus, feel free to comment on that.
I believe everything else should be quite clear.
The overridden function may conflict with the default scrolling function; Frankly, I didn’t check that.