The mouse wheel messages are sent to the control with the focus. And panels usually aren't focusable.
I use this TApplicationEvents.OnMessage handler in my applications to send the mouse wheel message to the window under the mouse cursor instead of the focused control.
procedure TMainDataModule.ApplicationEventsMessage(var Msg: tagMSG; var Handled: Boolean);
var
Wnd: HWND;
begin
if Msg.message = WM_MOUSEWHEEL then
begin
Wnd := WindowFromPoint(Msg.pt);
// It must be a VCL control otherwise we could get access violations
if IsVCLControl(Wnd) then
Msg.hwnd := Wnd; // change the message receiver to the control under the cursor
end;
end;