In "New Window", the key word is "Window" ; as such, it has scroll zones.
once we'll get a "New Dialog" script step, your dreams will (maybe) come true.
Thank you for your post.
If it is simply for displaying text or maybe running a script via buttons there is the Show Custom Dialog script step, which will give a Dialog without scroll bars as @siplus mentioned.
As for a Dialog that is more customizable or the option for having the scroll bars removed from a new window, I would recommend entering this as a suggestion into the Feature Requests Web Form.
I hope this information is of use!