Get at that with Firebug and you'll notice something about the classes of the generated dialog - ui-widget and/or ui-state are completely absent, but those are the classes that ThemeRoller uses to color UI elements!
Is there some sort of ThemeRoller-compliant dialog generator, or even a script to hack the right display classes into a dialog after the fact?
Or, since I'm not intending to let my users edit their own themes, do I just have to do the bit of CSS hackery that the jQuery people apparently did for their demos, putting color information into ui.dialog.css?