Swing's platform look and feel does not get a convincing native experience, as you'll find out the first time you open a JFileChooser on Mac and see a clone of the windows XP file picker with widgets made to look like mac OS widgets circa Snow Leopard.
Some of those dialogs are indeed not great and a weak point. There are a few options to get a native picker though.
The FileDialog is the only AWT widget I still use regularly. It gives you the native file chooser. Unfortunately it isn't terribly flexible when it comes to, for example, only selecting directories. In those cases, I have been known to use JNI to use the truly native dialog.
It was not impressive when this documentation was written, but it's for sure not impressive today.