One problem: Turning off that option in Windows breaks the Start Menu. If you click the Start button and then try to scroll the Start Menu with the mouse, nothing happens, because the Start Menu doesn't take focus (which also causes other problems I won't go into). For the mouse wheel to do anything with the option off, you have to click the Start Menu after opening it. It has been this way since Windows 10 shipped many years ago, because today's Microsoft are utterly incompetent.
I dislike the change (it makes it even harder to know which application has focus, on top of all the other window-focus-indicator issues in Windows 10 and modern web browsers), but I disliked the Start Menu not working even more, so I got used to it and moving the mouse over the window I wanted the wheel to affect.
Another thing to watch out for, if the option is on, is that using the mousewheel when the pointer happens to be over a combobox control will change the option in the combo (without it opening or anything more conspicuous than the text in it changing, so it's easy to not notice it) in a lot of software. (The ones in Opus tend to be protected against this, but I'm sure we've missed a few, and other software doesn't generally protect against it at all.)
The option itself isn't a bad idea, but making it the default with an OS which had functioned differently for decades, on top of how hard it is now to see which window is active at times (where "the mousewheel is scrolling it, so that means it's active" had sadly become an important indicator as to which app had focus due to things like window borders becoming unreliable as quick focus indicators), and then breaking and not testing even essential parts of the OS with the option toggled to the non-default setting... it's a bit of a joke.