Even though most UI libraries now draw their own widgets some native integration is almost always used/desired. Those integrations are typically: keyboard short cuts, native system menu (macOS), native file dialogs, and (sometimes) native context menus. I'm sure there are others I'm forgetting, but these minimal integrations are a good thing as they give the user some sense of familiarity.
Not just a sense of familiarity; you will simply never build the full spectrum of a file explorer's functionality in a custom file dialog, that would be a complete waste of engineering time. And many more users than you'd expect benefit from the fact that native file dialogs are actually full-fledged explorers. For example, I fairly often find myself quick-previewing a file to be sure it's the correct one when I select it.
Thankfully on Macos x and Windows, the file picker isn't provided by the UI toolkit (though they usually provide abstract methods of calling it, for convenience).
Linux is now working towards that goal as well, in the form of XDG Desktop Portal. It puts the Desktop Environment (or third party provider) in charge of providing services like the file dialog/picker/chooser for better integration/coherence. It's not been fully adopted yet, but I'm very excited about it because GTK's file chooser is just awful and I want to provide my own to those apps!