Can confirm LinearMouse makes this easy to set up.
This is something frustrating. When a mouse is connected to a MBP, there is a separate system preference for the mouse and trackpad. However, the natural scrolling switch from each one follows the other, yet the tracking speed is able to be set separately. It is yet another sign of the cluster fuck that Apple's OS teams are
This is my biggest gripe with macOS. Natural scrolling is good on a trackpad but is a divide by zero in my brain for the mouse
This is what I use, it does the job. Flakes out when I plug in occasionally (5% of the time maybe?) but "ope, scroll wheel is backward, time to power-cycle the extension" isn't a crisis.
As others have mentioned, there's quite a few options, and I use mos (https://github.com/Caldis/Mos) for no particular reason. It does the same things as any of the alternatives, I just found it first and stuck with it since.
If you have a Logitech mouse their software can handle that for you in the Mac. Why this isn't supported natively is beyond me
MacOS is death by a thousand papercuts to use due to these small things that need an app. Installing those apps cause other problems though.