But for my personal apps I would always use the host / native file selctor. Only if I need some special functionality I would try to build my own file selector.
I guess this depends on the audience who you are targeting. If your app is for a wide range of users out there in the wild, wild internet I think it is best to come as close as possible to common "standards". Everything which behaves or looks different may rejected easily by a user.
You see this with many succesfull apps for example at downloads.com. Usually these apps can be installed painlessly. The look and feel is nice and follows the common standard. Well "skinning" may seen as a "standard" too for some kind of apps.
And even a different look of a file selctor may cost some users...
Things are more relaxed for apps written for individual companys or a limitid audience. Many apps I have seen which costs millions of dollars for one license are often hard to install and well sometimes look like ... not so good ...
For The Ide I consider a different looking file selctor not as a big problem. The internals far outweight some rough corners.
I guess this in not only true for windows.
Many GNOME and KDE users react very alergic for GUIs which looks like XP...