It's not possible to assign the mouse wheel scrolling action to a regular axis mapping as you would do with two different keys.
The only option available is using MouseWheelUp to scale +1.0 (or what you need) and MouseWheelDown to scale -1.0.
This is by design and is not considered a bug.
Edit based on my own tests and from new comments.
I'm not sure why you're only seeing result when the wheel moves forward.
I went into the input settings and added a new axis event based on mouse wheel axis:
Then went into the level blueprint and set up a simple chain for getting to a print string:
And finally, ran the program, scrolling the mouse wheel back and forth:
As you can see, I'm getting 1.0 and -1.0 results so can't say why you're not seeing the same.
Please note that I'm using engine version 4.22 for this. Based on previous research, I didn't think this was possible so it may be a new feature added on a later version of the engine.