Looks like Facebook is aggressively pushing Messenger Rooms in its owned platform. I mean Last month, we revealed WhatsApp for iOS and Android has the shortcut to initiate Messenger Rooms and now a report says WhatsApp web also has the same shortcut. WhatsApp Web 2.2019.6 has the Shortcut to initiate Messenger Rooms and it works the same as it do in WhatsApp for iOS and Android. Let me explain to you about it in detail.
There are two places where you can spot the shortcut to Messenger Rooms in WhatsApp Web. The first one at the action list while the second one in the main menu. The below screenshots explained the same visually.
Now, If you click on the Messenger Rooms shortcut present in the action list, it prompts you an introduction about Messenger Rooms.

Also, if you click on the Create Room shortcut (for the Messenger Rooms) present in the main menu, it prompts you to redirect to the Messenger to create Rooms

Do note that, The Shortcuts to Messenger Rooms in WhatsApp just help you to quickly create a Messenger Room but to avail the service lastly you have to visit the Messenger. I mean you can’t use Messenger Rooms in WhatsApp.
Now, coming to this feature, for now it is not confirmed whether it is going to be the part of future stable WhatsApp Web update. However, the same feature has been spotted in WhatsApp Web 2.2019.6.