In Excel or Word, if you double click the Format Painter button, it will stay until you click it again or until you press the Esc key. This allows applying Format Painter to several areas consecutively.
In Power BI, the behavior is different: double click acts as two consecutive clicks. I.e. the button turns on like after one click and then like after another click. If you need to apply the same formatting to several visuals, you have to constantly click the Format Painter button after each time.
I report it here in issues because this behavior is inconsistent from other Microsoft products, so this is a bug report, not a feature request.