I'm not using a machine w/ Jaguar installed right now, so I can't test it out, but try logging in as root, and changing the root theme to graphite.
There's a possibility that doing so may change the color of those dialogs when logged in as a different user.
What's more, even when you select the graphite theme, the highlight color remains blue unless you specifically change it. I think some people were complaining about this earlier, but i happen to think it looks rather nice, so I just left it.