I have an observation to make...
In pure Windows 98SE, I'm able to use the mouse wheel to zoom in/out. I have an MS optical wheel mouse. I'm also using the CD-ROM version of the program.
However, using the same version of the program, same mouse, but under WINE or even CrossOver Office, the mouse wheel does not zoom in/out.
I ruled out a Linux issue because I can also use the wheel on my mouse to scroll web pages.
Therefore, Linux itself does support the wheel of the mouse. Paint Shop Pro 8's zoom feature with the wheel does work (in it's native Windows Environment). This leaves the Win4Lin/WINE/CX Office.
I'm figuring that it could very well be that most emluation or Windows API layer programmers might not use the scroll wheel much so therefore that issue might not take priority over others to fix.
Another test would be to see if other windows programs also can use the scroll wheel while in Win4Lin/WINE/CX Office that are known to have scroll wheel support. One would be to browse a modest HTML file on your hard drive with Internet Explorer running in these emulators/layers and see if you can scroll the page with the mouse wheel. If not, it's obviously that whichever layer you're using (WINE or Win4Lin and it could be both) doesn't yet have coding in to support the mouse wheel.