The Visual Header was changed in July 2018 and for new reports it’s on by default.
For existing reports however you need to enable it.
In PBI Desktop - File - Options and Settings - Options - Report Settings - Use Modern Visual Header with...
The reason they didn’t automatically do this for older reports is that switching to the new visual headers shifts your visuals and you will need to spend some time rearranging them to match your original layout.
Hope this helps!