wxWidgets can use the platform native controls, but the apps rarely look native because the layouts and behaviors are non-native. Mac/GNOME/Windows all have different ideal metrics for spacings, control placement and labeling (OK/Cancel vs Cancel/"Do Thing") -- being native means getting all of those details correct.
Under the hood, it's 100% native widgets (i.e., on OSX, the code is actually instantiating an NSButton, adding it to an NSView, set as content on an NSWindow; on Ubuntu, it uses Gtk.Button etc), so the look and feel of the widgets themselves are exactly as the platform dictates.
But the devil is in the detail. The reason why many wx apps don't look very well on OS X is because getting all the tiny details like spacing, behavior, layout etc. right for all supported platforms, with (mostly) same code base is hard - and it has nothing to do with the look of individual widgets.
But well, you'll learn that during the journey ;)