My apologies in advance if this is a Windows/Delphi/Styles problem rather than an LMD one! It can be difficult to determine where the fault lies in these cases.
I have noticed that in the LMDFileOpenDialog and LMDFileSaveDialog, changing the style causes some problems with the Back/Forward/Up arrows in the top-left corner. (see attachment BackForwardUpButtons.jpg)
There is also a problem with the LMDFileOpenDialog Open button. When the style is plain Windows, this can show as a dropdown (giving access to "Show Previous versions"). However when a different style is selected, the Open button turns into a radio button. (see attachment OpenButton.jpg)