FYI, the reason they don't work on Blender is because Blender, presumably for cross-platform consistency, manually draws its entire UI as well as handles its own events. The OS has no involvement in the UI, except to provide system resources. Most applications use standard dialogs for things like opening files, that are implemented in a central system DLL, so the behavior is consistent system-wide, and any improvement MS makes to those dialogs is automatically applied to all applications that use them.