IR... I had a similar issue a while back and it had something to do with the 'Themes Service' in Vista not running. While XP seems to run WB just fine with the 'Themes Service' disabled, Vista apparently needs this service enabled to apply blinds correctly... well that's what I found, cos once 'Themes Service' was re-enabled all was well and WB's applied correctly/those selected other than 'Diamond'.
Also, I dual boot XP & Vista on separate drives without issue, but yrag is right in that you should install Vista first, then XP... cos Vista will always make itself the default OS and seems to install/run better if the BOIS is unencumbered by an already present OS. XP then becomes an independent secondary OS which is unaffected by any issues that may appear in Vista.
Despite it being contrary to MS' advice, I've noticed everything runs better this way at boot-up/in the BOIS, etc. While I've not had the problem with my dual booter, my wife had issues with her machine not seeing XP properly after Vista was installed. In this instance, however, VistaBootPro was ineffective and the issue was remedied by disabling the XP drive in 'device manager' (thus making it invisible) prior to reinstalling Vista, then re-enabling the drive and doing a repair install of XP to bring it back on-line... that way you don't lose your installation or any of your files/proggies, etc.
Yeah, I know, it's a lot of messing around and a pain in the arse, but the end result is worth it.