MicroFour.StrataFrame.UI.Windows.Forms.ApplicationTheme.Theme = ApplicationThemeName.BlueSkies

I have examined the wrapper class and haven't found wrapper for such controls :-(

You will have to manually implement the theme logic to the controls that you want to have it if they are not SF controls.  We did this for some 3rd party stuff in our medical software by just creating a class, inherited the desired control, and setting the properties.  There is no possible way that we (SF) could just know which properties to set on a 3rd party class dynamically.

As for the colors changing automatically, all you need to do is handle the ApplicationThemeChanged event and refresh the control.

Hmmm...couldn't reproduce this...it works fine on my side.  You may have the ThemeSupport property set to a value other than Full or ColorsOnly.  I have verified this and I know that this works as it should.

Regarding to the second point - the following is the prinscreen of the application where SandDunes theme is applied - everything is OK except the backcolor of menu. ThemeSupport of ThemedMenuStrip control is set to Full. With other themes it is OK.