If the Scrollbox is the active control, the wheel events perform even if mouse pointer is out of it. And it becomes active even if you click on the image. If you click on the memo, this becomes active and the wheel events are not triggered.
However, it seems to be there something if you put the image at the top and the memo on bottom. When the mouse is over the image, the wheel events aren't triggered. Not the same happens if you put two images on the box. Or if you put the memo on the top and the image on bottom. Or if you put two memos.
The memo seems to interfere on the behavior of scrollbox, but only the first control on the scrollbox seems to loose wheel events, no matter it's a memo or a image. Or, yes, it seems to be restricted to a part of the first control, perhaps restricted to the first size of the first control. It seems to be there some difference if you align scrollbox client or not.