Oh look, Microsoft actually has sensible recommendations on applications using customized windows:
Most Windows applications should use the standard window frames. However, for immersive, full screen, stand-alone applications like games and kiosk applications, it may be appropriate to use custom frames for any windows that aren't shown full screen. The motivation to use custom frames should be to give the overall experience a unique feel, not just for branding.
Of course, these recommendations don't apply to Microsoft themselves, only to everybody else. Microsoft Office, anyone? Outlook? Or the absolute GUI monstrosity that is the Windows Media Player? In Microsoft's own applications, there are gratuitous custom window frames everywhere.