I made a thread about this a few days ago and got the same response: "It works for me, so I don't know." It's not me. I have three computers with varying hardware, Windows versions and mice, and none of them can bind MWHEELUP and MWHEELDOWN in options. I've polled everyone I know that has the game (3 or 4 people I've infected with the M&B flu) and none of them can use the wheel either.
I, too, use the wheel for weapon changing in other games and would like to see this looked into. For now I have the switch keys set well enough, but I would like to use the wheel and free that prime key real estate for other functions.