I'm pretty sure that's a misconception. That's just the application using a system library for that dialog box, and the system library's look and feel (unsurprisingly) match the Finder's. In some cases, the code may actually be the same (i.e. the Finder itself uses that system library, too), but far from always.
This tends to show up if you're trying to tweak/customize preferences (e.g. from the command line or editing plists directly), since you usually have to duplicate the effort for both places.
At that point you're into semantics though. I'm fine with saying that Apple has BOTH a meh file manager and a meh system dialog box related to file stuff that may or may not share code. (And if they don't both work in pretty much the same way, that's mostly an annoyance as well.)
I brought it up not to nitpick semantics, but to elucidate to the, arguably more technical audience of HN, how the technical details can matter here.
Even to call it a "system" dialog is misleading, since it's just a system-provided library that each individual app is, technically, free to use or not use.
I certainly agree that it's annoying when the look, feel, and fucntion of all the apps' common interactions don't match each other. I do recall a time, though, when the system library features were so anemic, that I was actually glad of app's departure from the norm if it provided a useful new feature (e.g. "New Folder" button in a "Save" dialog).
I also agree that makes the suggestion of "use a Finder replacement app" not a solution to your real problem.
Maybe I'm suggesting that, to a nerdy-enough audience, you might have to state your real problem as being with "the Finder and all the system provided file-picking dialogs other apps tend to use".
This tends to show up if you're trying to tweak/customize preferences (e.g. from the command line or editing plists directly), since you usually have to duplicate the effort for both places.