It's been one of my many pet hates about Windows since first having to use it regularly, around NT or 2000. Windows isn't even consistent
with itself over the look of things bringing elements of previous and future versions of Windows to your desktop.
To add to the sibling comments...
From MSDN "Windows continues to support the old-style Open dialog box for applications that want to maintain a user-interface consistent with the old-style user-interface"
No, no and thrice no. If I'm on Win 7, everything should look Win 7 consistent. Likewise if I'm on 10 it should all look 10, perhaps with necessarily reduced functionality if it's a deprecated call.
If I'm running Visual Studio on 7, I don't want all my icons, and GUI to be of 10. No matter how diligently you upgrade, there is always something visually out of step. Even with only MS software.
I suspect it was the very late arrival of a Windows Style Guide made a lot of developers get the habit of doing their own thing. Then they'll start faffing around with variations so you can have preview in open. Hell, might as well do our own everything. The rules didn't say you shouldn't.
Mac always had a pretty tight, and extensive, Style Guide with apparently thought down to individual pixels; Windows seemed not to care, or not understand when it did care. Around XP Windows started caring more about UX, but probably far too late.