If it was working, the path with which the event would be propagated is:
QGraphicsView::wheelEvent
QGraphicsScene::wheelEvent
QGraphicsWidget::sceneEvent
(the proxy widget's parent class)
QGraphicsItem::sceneEvent
(the proxy widget's parent's parent)
QGraphicsProxyWidget::wheelEvent
QComboBox::wheelEvent
You already know it's not getting as far as QGraphicsProxyWidget::wheelEvent
, so if I were you I would go further up the chain to find where it's getting stuck.
Are you overriding wheelEvent anywhere else, like in QGraphicsView or QGraphicsScene? If so, that's probably the source of your problem, since these classes are supposed to forward events to their children.