We are unable to reproduce this issue with the steps you have provided in 2021.3.29f1 and 2022.3.7f1. Using the horizontal scrolling wheel of an MX Master 3, we could scroll sideways inside the project settings window.
Support for Shift + mouse scroll is available/will be available in the following Unity versions: 2021.3.30f1, 2022.3.7f1, 2023.1.10f1, 2023.2.0b6.
There is currently no feature that supports scrolling through tabs of docked windows.