Yes i have thought about, if that's what you meant, but that's not very often that's the case, and you did'nt explain like now, So i kept it simple.
I suggest you test the midi output and make sure the modwheel send out midi CC#01. You can use a midi monitor to do that.
You can also try using a standalone instrument outside your DAW to see, if the modwheel work there.
In case your modwheel do send our midi CC#01, and it work with a standalone instrument, then be sure you don't filter out the modwheel messages in your controller setup in your DAW or somewhere else - including in the instrument you use.
In case your modwheel does'nt work in any case, be sure the modwheel is mapped to midi CC#01. If it is, then your modwheel is defect.