It seems to depend on whether you have clicked in the appropriate area.
A lot of software fails to sense the position of the cursor before deciding what to do with the scroll wheel.
I do, though, have one complicating wrinkle in that I have a dual-monitor set up. This is now pretty common, but a lot of software struggles to handle that too.
It looks as if MacroExpress is multi-monitor enabled. I just have to work out how to use it.