I'm not sure if this is even a bug, but it is behavior that differs from Swing.

When MouseWheelListeners are added to several Components of a containment hierarchy, MouseWheelEvents are delivered to listeners all the way up the hierarchy.  This differes from Swing, wherein only the top-most listener receives the event.  Try the following test case:

// Test for problem 6 of 4475240

import java.awt.*;
import java.awt.event.*;

public class AWTTest6 implements MouseWheelListener {
    public AWTTest6() {}
    public static void main(String[] args) {
        Frame f = new Frame();
        Panel pnl = new Panel();
        Button btn = new Button("Button");

        pnl.setBackground(Color.RED);

        f.addMouseWheelListener(new AWTTest6());
        pnl.addMouseWheelListener(new AWTTest6());
        btn.addMouseWheelListener(new AWTTest6());

        pnl.add(btn);
        f.add(pnl);

        f.setSize(400, 400);
        f.setVisible(true);
    }
    public void mouseWheelMoved(MouseWheelEvent e) {
        System.out.println("mouseWheelMoved on " + e.getComponent().getName());
        //e.consume();
    }
}

The behavior can be worked-around by using MouseWheelEvent.consume().