I've installed on my host ubuntu 10.04 in virtualbox guest operating system ubuntu 12.04. And mouse wheel doesn't scroll vertically the contents of a window. In host works normally. VirtualBox mouse indicator in the right bottom corner flashhes when I'm using mouse wheel.
I also had this same problem, other distros in VirtualBox accepted mouse wheel scrolling without a problem.
My fix was in the "Machine" menu of the VirtualBox window in which Ubuntu was running, select "Disable Mouse Integration". Mouse wheel scrolling works after that.
I am using a wired mouse into a PS/2 port on the host.