I just discovered that if I do the following:
UIPickerView into my view
Since animationKeys seems to not work anymore, I have another solution. If you check the subviews of UIPickerView, you'll see that there is a UIPickerTableView for each component.
This UIPickerTableView is indeed a subclass of UITableView and of course of UIScrollView. Therefore, you can check its contentOffset value to detect a difference.
Besides, its scrollViewDelegate is nil by default, so I assume you can safely set an object of yours to detect scrollViewWillBeginDragging, scrollViewDidEndDecelerating, etc.
By keeping a reference to each UIPickerTableView, you should be able to implement an efficient isWheelRolling method.