hm.. according to help file the result of MouseAxis is Integer, but MouseState returns floats, interesting..
Mostly I'm using MouseState in my projects so didn't encounter any issues with that, if I remember correctly, only in one project mouse wheel is needed - for zooming, but with short test I didn't noticed any problems either, will need to take a look into it later.
btw. leaved pc for 15 minutes with that basic tutorial code, buttons and wheel response are ok, only that issue with mouse x&y velocity - it's zeroed when cursor hits screen bounds - when windowed.