Sometimes I have to logoff or reboot before the fonts in some areas change after applying a new theme or defining a font, especially I think for the Explorer fonts. You might try that to see if they are just being stubborn.
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You can also choose which font you want Windowblinds to use. That setting will remain even after to change skins, you will need to reset it afterwards to use the skin fonts.
Open WindowBlinds configuration
Click on the "Fonts" tab on the bottom, the 6th tab from the left
In the list on the right, "Allow the skin to decide on the fonts" (1st item in the list) should be highlighted if a specific font has not been selected.
If you want to use a specific font, scroll down the list, click on the font you want to use, then click on "Apply changes" in top left corner. (Again, sometimes I have to logoff or reboot before all the fonts will change on everything.)
Go back in when you want the skins to define the fonts and click on "Allow the skin to decide on the fonts" and then "Apply changes"
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If you have SkinStudio you can edit the fonts within the skin, sorry but I don't really know how to do that.