Not to say that I studied the DirectGui modules, but adding these two lines in direct/gui/DirectGuiGlobals.py after line 72 seems to do the trick.
WHEELUP = PGButton.getReleasePrefix() + MouseButton.wheelUp().getName() + '-'
WHEELDOWN = PGButton.getReleasePrefix() + MouseButton.wheelDown().getName() + '-'
from panda3d.core import *
import direct.directbase.DirectStart
from direct.gui.DirectGui import *
button = DirectButton(text = "Hello")
def myfunc(event): print "Wheel moved"
button.bind(DGG.WHEELUP, myfunc)
button.bind(DGG.WHEELDOWN, myfunc)
run()
I think the mouse wheel suppression is probably set in the low-level C++ classes. Just had a quick glance though.