I’m using Windows XP Theme named PantherXP and my avast! skin MacLover OS X.
Examples below. Pay attention to Cancel button as an example

Forced Windows XP Theme (ashQuick skinning disabled)

http://img121.exs.cx/img121/4779/forcedthemes0gl.png

No themes and no skins forced

http://img121.exs.cx/img121/2253/nothemes8qr.png

ashQuick skin enabled (MacLover OS X skin)

http://img121.exs.cx/img121/4871/skinned9ot.png

Now this is just an example,Warning dialog without themes and skins looks like 10x more ugly (at least for me). If themes enabled,buttons are changed the way WinXP theme looks and makes Warning dialog much more nicer to view and operate.