Since the "advanced" flavor is a superset of POSIX, why not use it? 
I've done a test by modifying the minimal wx example. It really fails with the default flag "wxRE_EXTENDED", but it works like a charm, if I use the method "Compile" with "wxRE_ADVANCED". Here is the source of the test:
#include <wx/wx.h>
#include <wx/regex.h>
#include "mondrian.xpm"
const unsigned int wxID_TEST_REGEX  = wxID_HIGHEST + 1;
// Declare the application class
class MyApp : public wxApp
{
public:
    // Called on application startup
    virtual bool OnInit();
};
// Declare our main frame class
class MyFrame : public wxFrame
{
public:
    // Constructor
    MyFrame(const wxString& title);
    // Event handlers
    void OnQuit(wxCommandEvent& event);
    void OnAbout(wxCommandEvent& event);
    void OnTestRegEx(wxCommandEvent& event);
private:
    // This class handles events
    DECLARE_EVENT_TABLE()
};
// Give wxWidgets the means to create a MyApp object
IMPLEMENT_APP(MyApp)
// Implements MyApp& wxGetApp()
DECLARE_APP(MyApp)
bool MyApp::OnInit()
{
    // Create the main application window
    MyFrame *frame = new MyFrame(wxT("Minimal wxWidgets App"));
    // Show it
    frame->Show(true);
    // Start the event loop
    return true;
}
MyFrame::MyFrame(const wxString& title)
       : wxFrame(NULL, wxID_ANY, title)
{
    // Set the frame icon
    SetIcon(wxIcon(mondrian_xpm));
    // Create a menu bar
    wxMenu *fileMenu = new wxMenu;
    // The "About" item should be in the help menu
    wxMenu *helpMenu = new wxMenu;
    helpMenu->Append(wxID_ABOUT, wxT("&About...\tF1"),
                     wxT("Show about dialog"));
    fileMenu->Append(wxID_EXIT, wxT("E&xit\tAlt-X"),
                     wxT("Quit this program"));
    fileMenu->Append(wxID_TEST_REGEX, wxT("&Test wxRegEx"),
                     wxT("Test wxRegEx"));
    // Now append the freshly created menu to the menu bar...
    wxMenuBar *menuBar = new wxMenuBar();
    menuBar->Append(fileMenu, wxT("&File"));
    menuBar->Append(helpMenu, wxT("&Help"));
    // ... and attach this menu bar to the frame
    SetMenuBar(menuBar);
    // Create a status bar just for fun
    CreateStatusBar(2);
    SetStatusText(wxT("Welcome to wxWidgets!"));
}
// Event table for MyFrame
BEGIN_EVENT_TABLE(MyFrame, wxFrame)
    EVT_MENU(wxID_ABOUT, MyFrame::OnAbout)
    EVT_MENU(wxID_EXIT, MyFrame::OnQuit)
    EVT_MENU(wxID_TEST_REGEX, MyFrame::OnTestRegEx)
END_EVENT_TABLE()
void MyFrame::OnAbout(wxCommandEvent& event)
{
    wxString msg;
    msg.Printf(wxT("Hello and welcome to %s"),
               wxVERSION_STRING);
    wxMessageBox(msg, wxT("About Minimal"),
                 wxOK | wxICON_INFORMATION, this);
}
void MyFrame::OnTestRegEx(wxCommandEvent& event)
{
    wxString s = wxT("ababcbab");
    wxRegEx rxTest;
    if(!rxTest.Compile(wxT("(.*?)c"), wxRE_ADVANCED))
        wxMessageBox(wxT("Compilation failed"), wxT("Error"),
                 wxOK | wxICON_ERROR, this);
    else
    {
        rxTest.Replace(&s, wxT("\\1"));
        wxMessageBox(s, wxT("Success"),
                 wxOK | wxICON_INFORMATION, this);
    }
}
void MyFrame::OnQuit(wxCommandEvent& event)
{
    // Destroy the frame
    Close();
}
 Edit:Sorry, I forgot to say, what system and wx versions I used for the test: 
Windows XP SP2
wxWidgets-2.6.3 (unicode-monodll)
wxWidgets-2.8.0 RC1 (unicode-monodll)
The test is maybe more clear by using the following code (it will get all befor the first "c", i. e. "abab"):
    wxString s = wxT("ababcbacab");
    wxRegEx rxTest;
    if(!rxTest.Compile(wxT("(.*?)c.*$"), wxRE_ADVANCED))
        wxMessageBox(wxT("Compilation failed"), wxT("Error"),
                 wxOK | wxICON_ERROR, this);
    else
    {
        rxTest.Replace(&s, wxT("\\1"));
        wxMessageBox(s, wxT("Success"),
                 wxOK | wxICON_INFORMATION, this);
    }