There's quite a subtle difference between Skins and Themes, and the reason why you're having problems with what you're trying to do might stem from this:
In WPF, a theming and skinning takes
on slight variations to their
meanings. Theming refers to
controlling the look and consistency
of an application UI to match the
operating system. For example, a WPF
application can be themed for the
Windows Aero theme or the Windows
Classic Theme. Skinning refers to
changing the application's appearance.
In other words, applying or letting
the user pick a skin to change the
look and feel of the application.
Robby Ingrebertsen, while working on
the WPF team, simplifies it as
follows:
Around here, we generally say that "theming" refers to the system theme
and "skinning" refers to changes to a specific app. This has helped to
clarify our internal communication
From here
So essentially, if you want your app to look like one of the Windows themes,ie the current windows theme - you don't have to set any styles in your app and it'll chose a pre-defined XAML skin that resembles it automatically. But, if you want to style your application, you make a skin for the app as you're doing.
As far as loading the Windows themes, this answer might help