This discrepancy in scroll bar themes between Power BI Desktop and the web service is because these applications belong to different frameworks. So, they inherit scroll bar styles as per their environments:
Power BI Desktop: This option uses the operating system's native scrollbar styles (depending on whether you are using Windows or macOS). These styles depend on the OS version, theme, and user-defined settings (for instance, light or dark mode).
Power BI Web: The browser rendering engine and the CSS rules of the Power BI Web interface determine how the scroll bar is styled according to the browser configuration. Multiple browser applications—like Chrome, Edge, and Firefox—may render the scroll bars quite differently.
Standardization Options:
Browser Customization for Power BI Web:
Use a browser plug-in or developer tools to customize the scrollbar to personal wishes.
For example, with Chrome, one could produce a custom user stylesheet that would uniformly style the scrollbars.
Customization of Power BI Desktop:
There is no way to change the scrollbar appearance in Power BI Desktop; however, you can change the relevant preferences in the OS concerning the scroll bars to apply the change system-wide (for example, turning dark mode on or making scroll bars hidden).
Power BI Web Themes and Styles:
Currently, Power BI Web does not support built-in customization of scrollbars in reports or dashboards. Microsoft may roll out more updates in this area in the future to further align visual themes.
