Mouse scroll doesn't work when using an external monitor

Mouse scroll doesn’t work in the direction of secondary monitor (Fullscreen Mode). The game properly confines the mouse cursor to the border of the game, but doesn’t give the > mouse scroll indicator and therefore you can’t scroll in that direction.

I’ve tried all the different options in terms of confining mouse cursor, none are helping.

Using Windowed Fullscreen solves that issue HOWEVER the performance drop is massive, making the game unplayable.

Spec:
Mac OS (10.15.2)
iMac, Late 2016, 16gb of Ram