Prior to v1.6.0 of xfce4-power-manager it was possible to change the screen brightness by moving the mouse pointer over the power manager icon in the panel, and then rolling the mouse scroll wheel up or down. That functionality seems to have been removed. Or perhaps the functionality was moved: if you right-click on the power manager icon it pops up a small menu, which has a slider in it called "Display brightness" which is adjustable using the mouse wheel. But having that functionality available by directly just mousing over the power manager icon was much more convenient. It's a bit clunky to have to right-click first to access it. It'd provide much better usability to restore the prior functionality.
This functionality was neither removed nor altered, it still works for me here. Are you sure you're using the panel plugin and not the systray icon?
Also: does changing the brightness from the plugin's menu work for you?
Hmmm ... OK. So yes, I guess I am now using the systray icon, rather than the panel plugin, and it's the systray icon that I'm referring to here that doesn't support using the scroll wheel on mouseover. I switched to the systray icon only because the look of the panel plugin completely changed in the 1.6.0 version and there didn't seem to be any way to customize it to make it look like the prior version. So, I guess what I'm asking for then is: would it be possible to *add* scroll wheel support to the systray icon? (Given that since the upgrade the systray icon now looks like what the old panel plugin used to look like.)
The simple (and late) answer is no.