Oceanview, unfortunately, I cannot talk Sibelius specifically, as I use Finale (and actually primarily an old version: 2005). I would think that something similar would be available in Sibelius to the following: in Finale, there is a separate icon for MIDI control/commands. One of the commands allows you to set data for continuous controllers - in this case selecting the mod wheel. By clicking on the part you wish to edit, a MIDI display for the mod wheel for the particular part in the score that you selected is opened. One can highlight an area where the mod wheel control data is to start (best done in a rest prior to the start of the score), and then set the continuous controller data accordingly. Since the data is continuous, setting it for that one brief moment is all that is needed.
Note that in general doing MIDI edits in a notation program is very cumbersome, and MIDI edits are generally best done in a sequencer. This sort of mod wheel command would be an exception.