In order to use the Mod wheel, a client needs to be loaded via Automap. Once a template (User, FX, Inst or Mixer) is initiated, the Mod wheel will begin working.
If you are not using Automap, and the unit is in Advanced mode, the Mod wheel should send the relevant control information to control your software instrument.
If it still isn't working, a good way to test that it is sending MIDI is quitting Automap, and installing this small application:
For Mac - www.snoize.com Midi Monitor
For PC - www.midiox.com
Set the device as an input source if in Midi Monitor, and move the affected control. Does the information given suggest the control is faulty?
If so, please contact support and we will do our best to help.