I found the same problem and here's my workaround.
Go to your documents folder on your PC and you'll see a folder called "My Games"; in there you'll see another folder called "LegendaryHeroes".
Open the "Prefs.ini" with notepad and find "EdgeScrollSpeed=" change this to the number you want and save the file, then reload FELH.
It will "not" show differently in the options screen, but the value changed will be in affect.
You will probably have to do this a few times to set it to whatever suits you.
Hope that helps