I noticed that you will not see the Proportional Editing radius if you are using tools like Move, Rotate, or Scale from the left side Icon panel. Those tools enable the Gizmo, but the Proportional Editing radius isn't visible and the scroll wheel will only engage the zoom. So, if you try what Keppel suggests, press G, then you can use the scroll wheel for the proportional radius adjustment. You can see the proportional size text in the upper left-hand corner of the workspace on a default Blender layout, so you can see what size the proportions are at. And, as Keppel suggests, you can also use the tool panel popup to adjust the proportional size, but this still won't show the radius circle if you pick a tool from the icon menu bar at the left. I'm using 2.81, but the same is probably true for 2.82.

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