Interesting, all of those things work for me with alacritty, kitty, gnome terminal, etc. Maybe it is a limitation of MacOS Terminal? Or you need to explicitly enable `set mouse=a`?
This seems to be something in Vim rather than a NeoVim-specific setting, as I tried the same thing with the standard Vim and it worked the same. The scrolling feel in the Terminal isn't as smooth as MacVim, but it's still pretty good.