Ok, i was waiting for my IT guy to come back to me with this. I had asked him earlier to take one of the new PCs, remove Vista (first thing we do with new PCs, 'format c:') and install XP on it.
So, with full 'theming' on in XP in the usual end-user 800x600 (my eyes are bleeding!), for fun and giggles, I went to telerik.com and the online Prometheus demo of the ComboBox, and indeed, the scroll bar is skinned with the XP skin, NOT the selected skin of Prometheus.
So I guess I can conclude that Prometheus simply does not support skinned scroll bars (it does look better with the XP theme scroll bar as compared to our non-skinned dev-PC XPs, but i am not yet ready to have my eyes go down the drain due to the nuclear radiation that the XP (not to mention Vista) default skin produces :) ).
One has to admit tho, it does look horrendous: eek..