I've tried finding some good native older Windows examples of panels/dialogs that have select dropdown style widgets, as well as being scrollable, but it seems that in general, Windows avoids having both a scrolling panel AND a select (e.g. going to device manager, getting to the details of a driver, there is a select dropdown that can be scrolled/changed directly with scroll wheel, but the panel itself is sized so that it doesn't need scrolling).
In newer-style panels in Windows 10, it seems that select dropdowns are simply not reacting to scroll wheel at all (for instance looking at the display settings)
For what it's worth, even for web content, where you can have scrolling for the page and then actual <select> elements, it seems browsers ignore scroll wheel events on the selects.
It may be a case of having to make a choice and suppressing mouse wheel functionality on the selects? having both the panel scrolling and the selects changing on scroll wheel is just the worst of both worlds at the moment / bad user experience.
EDIT: looking a bit closer at the new-style Windows settings panels, it seems (though it's a tiny bit flakey) that it's using some sort of heuristic - if the scrolling with scrollwheel started outside of the select, and is "in progress", the selects don't react at all to the scrollwheel. However, if the mouse started off over one of the selects, then scrollwheel is hijacked to just cycle throught the select options and not to scroll the page (though sometimes, the heuristic appears to flake out on recognising the "in progress" scrolling on occasions) 
- further edit: ah, it seems that to trigger the second behaviour, the user has had to first click/focus into the select at least once ... only then does it do this heuristic. otherwise, scrollwheel just scrolls the page/panel regardless of where you started the scrollwheel action. anyway, this does appear to be a tough nut to crack / circle to square, as either way a change in behaviour will annoy one group of users that relied on the current one, despite solving the problem for another group of users that were annoyed by the current one. maybe...and i know this is usually the undecided/cowardly way out...make it a setting ?