It's not the actual theme that does it. When you right click on a popup menu, it's just like right clicking the folder in Explorer. So when you right click and say delete, it'd be the same as right clicking and saying delete in Explorer.

If you want to change the visual display of any part of any theme, it should be done through the .rc or image files that are associated with that theme. The exceptions of course being settings in your personal files such as popup.rc, hotkey.rc, etc.