I understand now. I tried to recreate your requirement and now I think that it is not currently possible with RadComboBox. First, when the dropdown is closed, on mouse wheel RadComboBox will try to change its selection and if it succeeds, it will handle the event, preventing the external event handler from executing (e.g. while the selection can be changed the event handler will not be executed and the dropdown cannot be open). On the other hand, when the dropdown is open, RadComboBox will not change its selection, but will only scroll its dropdown. Unfortunately both behaviors cannot be overridden or customized.
the Telerik team