I'm sure you were using it correctly, but the M2's firmware puts a very slow restriction on the Z-axis speed and acceleration. Creator will remember any commands you intend to send to your machine, so if you move the jog wheel 100 times, it's going to store all 100 of those commands in waiting. In the meantime, the firmware may still be trying to execute the first of those commands because the Z-axis is so slow to respond and move. That's what probably caused the continued movements after you stopped moving the dial.
Personally, I usually only use the jog wheel for the X and Y axes since those respond very quickly and tend to be easier to control in this manner. I usually use the custom movement field with the +/- buttons for the extruder and Z-axis. It's also a little harder to make a mistake with the +/- buttons and you want to be particularly careful with your Z-axis for head crashes and your extruder for filament stripping if you're moving too erratically.
Hope that helps!