Yes, ALLOWED_WEBHOOK_DOMAINS works in Grist Desktop the same way it does in grist-core. Desktop runs a Grist server in the background, and that server reads its settings from environment variables. Grist Desktop has no separate config file.
The simplest way to set it on Windows is a user environment variable:
Open Start → “Edit environment variables for your account”.
Add a new variable named ALLOWED_WEBHOOK_DOMAINS. Set its value to a comma-separated list of domains, for example webhook.site, hooks.zapier.com.
Quit Grist Desktop completely and start it again. It only reads environment variables at startup.
You can also do this from a command prompt with setx ALLOWED_WEBHOOK_DOMAINS “webhook.site,hooks.zapier.com”, then restart Grist.