Issue was caused by changing button state to EXIT, so there's no active button just after applying Alt-Wheel event. Setting this state is needed to prevent button trigger cancel callback when mouse is leaving hovered menu button. Using the same "post activate" trick used by Tab button allows to make prevent canceling button and makes this button active again after applying all handlers. There's still issues with Alt-Scroll if changing active element in menu leads to interface changes (like file format in render buttons) -- in this case button simple doesn't receive wheel events and it's actually not connected to this issue.