If you develop a desktop app on your company's time, your boss will find a million more important things to do than to make sure keyboard accelerators work, make sense, or are configurable. If you do it on your own, you will probably find a different million of things to improve, like the main number crunching loop. After all, you're coding it primarily for yourself so why do you care what Alt-W or Ctrl-U do in your app, you use the mouse. Maybe if you publish it, you'll get some feedback from users and you fix it, but it's more likely that they'll just decide it's "no more limited than that other tool" and you'll never know that it is a problem for them.
Not to mention there are varied GUI toolkits available depending on the programming language you use, each with its own style - Borland's VCL, especially with its button graphics which stand out to this day; MFC; wxWidgets... each with their own idea of how things should be handled. And there's OwnerDraw, giving the more "hardcore" coders another chance to shoot themselves in the foot by allowing the application to draw the control as it saw fit, which of course means they cannot take advantage of the new Windows common controls themes.
Windows has a "you are the developer, you choose how to do whatever the hell you like" experience, while Mac is more "here are our libraries, love them, sing praise to them, but try and keep it the same as much of everything else".
I was talking recently about the look of a new version of an application, and one thing I tried to pass was to keep it looking very well integrated with Windows 7 look. Avoid custom themes and colors, but 80% of the developers believe a custom theme is better. This in general doesn't make software ugly, but when you don't have (or don't want to have) the resources for a good graphics design team to do the entire design of the app, it leaves choices on the hands of programmers (not the best designers imo). Comparing to Cocoa/Mac, usually programmers use less of custom themes and go with the Cocoa flow, making the applications slightly more elegant (as they are using the resources of the Mac Design team).
But this is in no way 100% true for both platforms, there are really horrible designed apps for Mac, and gorgeous applications for Windows, just what I feel to be the general trend.
Edit: I like ToDoList: http://www.codeproject.com/KB/applications/todolist2.aspx It is as you say, a bit bloated, but works fine for keeping track of my programming tasks (it isn't GTD, just a hierarchal ToDo list, and open source)
And there's positive feedback. One reason people buy Macintoshes is because they like the software better.