This is not on official answer, but some creative guesswork on my part: Banshee uses Mono, which has always had issues integrating 100% with the GTK theme. Therefore, to get to to look right in the GTK2 days, it required an rc file (which is like a theme for one program). As yet in 11.10, I haven't seen any rc files that would be used to fix little issues in theme compatibility. This is why Banshee looks out of place.
If you want to see another instance of rc issues, look at the Ubuntu One control panel. In Natty it has a different tab switcher because of custom rc file. In Oneiric, this doesn't exist.
Now, as for why those RC files don't exist, I cannot say. GTK3/the unico engine may not support it yet or it may not be possible, or it may just be waiting in the pipes.
Recap: Rhythmbox native GTK app, will look right. Banshee is a Mono app, will never look 100% correct without some work.
EDIT: Please read MichaelMS's comments on this answer, he clarifies some of the misconceptions in this answer. (Mainly that Banshee COULD look 100% right, but is coded in a way that it doesn't.)