It does on my machine.
How fast are you scrolling? Keep in mind that the action will intercept one mouse button press/scroll, after which execution will proceed to the next action.
The next button press/scroll can only be intercepted when execution reaches the "Wait For Mouse Button Press" again.
I.E. if you press a button, or scroll, in the time that it takes for the conditions in your command to be processed, and the ~100ms your keypress action takes, it won't be intercepted because the "Wait For Mouse Button Press" action isn't actually running.
If you need every scroll to be intercepted regardless of timing, you'll need to assign it to a command instead.