Ah of course! In that case I suspect the problem: the scroll wheel is by default bound to both “zoom cockpit in/out” and “manipulate control up/down”. So if the mouse cursor is over certain controls, using the wheel does not scroll: it moves or rotates the control.
You need to be careful about where the mouse cursor is before using the scroll wheel for zoom, or – and I strongly suggest this – change the bindings so you have to do something like click the wheel and scroll it to get zoom.
(Personally I find the default zoom binding on the mouse incredibly poorly chosen – it interferes with use of the function during flight because the cockpit controls move around as you shake and turn etc.)