Kubuntu is the only distribution that I know which had a setting for mouse scroll. Although, it is possible that any KDE-based distro make this setting available out-of-box.
In Kubuntu 12.04 release, you can look into
System Settings >
Input Devices >
Advanced. The last line contains this option:
Mouse wheel scrolls by: (Default is set to
3 lines). You can change this value between
12 using the spinner (up-down control).
Below is the screenshot I had taken on Kubuntu 12.04.
There are distro-independent alternatives, such as using a tool called
imwheel suggested in this answer, using Xorg configuration which is often hardware-dependant, and may be more.
Is this only a problem of Gnome distros or KDE and Xfce has the same problems too?
I had used legacy KDE3 and GNOME2-based distros back then, but I've come to liking XFCE4-based distro because it has "sufficient" options out-of-box.
And yet, XFCE4 doesn't have the "mouse scroll wheel sensitivity". The reason? It's likely what has been decided by the project team (although this is concurred from my opinion).
In contrast, Kubuntu/KDE-based distro have this option, mainly because their desktop environment offers extensive options for out-of-box customization.
Above all, not all distros are created equal.