We discussed this question, but we didn't come to an agreement.
In the current version, all dialog boxes use current system theme, as almost any other window in your system. What will you do if we provide themes for our dialogs, but you won't be able to use the same themes for your own dialogs or for simple MessageBoxes? The correct answer for this question is to provide themes for all WPF controls, but in such case you still might have problems with controls of other vendors or with your custom styles and templates.
So, it's an open issue, we may consider it once more later.