Mmmmm, but windows does the same. All windows programs do have the same window borders, and the menu of the window will always have the same style (i.e. when you right click on the title bar). While the application itself (the client area, inside the frame) can be of any kind. Some applications might fake otherwise by not showing the window border and faking a decoration of any kind, but it's just that, a fake. Linux programs can also run borderless.
There's one thing I find strange in linux (i'm pretty new though): why separate the WM (window borders, right click menu) and the graphical kit (GTK : buttons, scrollbars)?
Theming is not a very complicated thing nowadays. I am not much into it, but I guess that creating a theme for compiz is just a matter of making some pixmaps with a few transparencies (just my guess, as said, I am not too interested in the matter). So I guess that the best thing to do if you can't find a nice theme is to make your own. There are also sites like kde-look.org or gnome-look.org with lots of material to look around.
I mean, sometimes we can't find exact matches for WM themes and GTK themes, and it becomes ugly. For example, I pretty like KDE4's appearences & styles (but I don't like KDE itself and its apps so much), I found a nice GTK theme which recreates KDE buttons etc and tried it on XFCE, very nice indeed, but couldn't find the correspondant xfwm theme to this KDE style, nor any metacity/compiz/beryl theme which looked like KDE4. (By the way if someone had a link to a WM theme which looks like KDE4?).