So the bug is that the pg_service.conf file is not read from this location.
I can reproduce this after using the EDB installer to install.
I create the directory indicated by `pg_config --sysconfdir`, put the pg_service.conf in it, and psql and pg_dump work without setting either PGSERVICEFILE or PGSYSCONFDIR. But pgbench and PgAdmin4 do not work with the service file this way, but do work if I define PGSERVICEFILE, so there does seem to be something buggy going on.
This was on Windows 2019, Windows_Server-2019-English-Full-Base-2020.07.15 (ami-066a1a3fa81bfbd00). With both 9.6 and 12 (the only ones I tested), and I installed both to the default location and a custom location (on a fresh machine each time), makes no difference.
pgbench works just fine on Linux when I execute (no environment variables) [1] with an appropriate service entry in /usr/local/pgsql/etc. I find it odd that it wouldn't work on Windows, especially since other programs do and the connection code for pgbench looks the same as for the others and doesn't seem to be influenced by conditional compilation.
