I have noticed that the new matrix if you group by 2 values the formatting will only apply to the top group when you switch Stepped Layout off. Is this by design? I would expect the format to extend to all row headers like the old matrix visualisation did. Unless I am missing something and you can set it?
According to your description above, I have tested it with the latest version of Power BI Desktop(2.49.4831.521 64-bit (August 2017)). I find that the row header format(font/background color) only works for top group when you use Default Matrix Style with Stepped Layout off for Row header option. However, the row header format(font/background color) will apply to all groups when you use other Matrix Styles(i.e. Minimal) and with Stepped Layout off for Row header option.
So I will report this issue internally and post back if there is any feedback.
This is the intended behavior. The default behavior is to extend the alternating rows colors to the last level or Row grouping. This behavior matches the majority of feedback we got on this feature.
To turn this feature OFF, you can toggle this option OFF