Windows has no native setting to set the action for the Scroll Wheel click, that function is always provided by the drivers or software installed for the mouse.
If you have any specific app installed for your mouse, check in that for the setting.
If not, open the old Control Panel.
Set View to large icons in the old Control Panel.
Open the Mouse applet, then check on each tab on the resulting utility for that setting.
If you are still unable to find the setting, you will need to use some 3rd party utility like the widely available free 'X Mouse Button Control' app to remap the scroll wheel click action.