A simple example of this is Notepad.
With Windows setup for 'dark mode', Windows Explorer takes on a nice 'black themed' appearance, yet starting Notepad present the user with a totally different 'white themed' application.
The reason Notepad doesn't take on the 'black theme' is because it uses the older Win32 GUI controls and those older controls don't adhere to the modern Windows look.
There was a time these older controls would automatically take on any new Windows theme, but Microsoft broke that link with Window 8 and the new Metro UI controls introduced with that version.
To make Notepad look at home in a 'black themed' Windows would require removing those older Win32 GUI controls and replacing them with a Metro equivalent.
Even Microsoft with all it's resources has not bothered to do this re-work only because it is not a trivial exercise.