I'll agree that UX consistency certainly isn't as good as it could be on Linux, but I wouldn't hold up Microsoft as a paragon of that. Every version of Office for the last decade has done things its own way and differently to the underlying system; most of those have just been visual (XP + 2003) but of course 2007 is considerably different with its funny logo thing in the top left and the Ribbon.

Windows 7 seems to be full of things like that; most programs still have the classic menu strip at the top; Office has a sort of one with the Ribbon and hides parts of it under that logo thing; Explorer doesn't have one at all any more and Paint has a Ribbon too but a funny blue lozenge instead of a logo.

I would contend that Ubuntu Lucid is rather more consistent than that; every preinstalled app I've used is GTK-based so they all look pretty much the same.