I don’t generally use XFCE, but as far as I’m aware a global theme of some kind can govern the appearance of most dialogs. A complete new theme could be applied using Kvantum.
If it’s the background you don’t like, there are tutorials showing how to change that.
Here’s one;
As you can see, the image can be changed via the LightDM Greeter settings – you can change the theme, the image itself, icons, font,user image – all from the Appearance tab.
Menu → Settings → LightDM GTK Greeter → Appearance (tab)
However, to maintain a constant look and feel, I’d guess the best option would be to make sure the Theme (“Matcha-sea” is the default) matches the theme selected globally.
Menu → Appearance → Style (tab)
It works just fine, when the screen is locked. 
However, it does need a little logic applied to the task beforehand:
1. Set Delay before capturing to an arbitrary duration long enough to proceed to lock the screen – say, 15 seconds …
2. Click “OK” → Lock the screen and wait for the delay to timeout (plus a few more seconds for good measure) …
3. Unlock the screen …
When returning to the desktop, the Screenshot dialog is presented, pending save options to be selected. Try it.