Ok. After the hint that this might be an issue related to the mouse, instead of the keyboard, I googled and found some threads talking about Logitech software might have something to do with the issue.
So I removed Logitech Option and now it works, both scroll and zoom in/out!
Just to keep in mind that if you use advanced mouse models that need Logitech software to configure, then this might be an issue.
Thank you folks for providing me with the feedback so I can finally resolve this issue.