We found out that this problem was introduced in RAD Studio 2009 and still persists in RAD Studio 2010. By default, these IDEs use new Vista-style dialogs in Windows Vista and Windows 7 if Windows themes and IDE runtime themes are enabled. So, if these conditions are met, Vista-style dialogs are shown, which appear as if they are not skinned. To work around the problem, you can disable themes or prevent the IDE from using Vista-style dialogs via the Dialogs.UseLatestCommonDialogs option, as shown below:
DelphiDialogs.UseLatestCommonDialogs := False; // Enables standard style dialogs
Until the suggestion is implemented, we recommend that you use this workaround in your skinned applications.