We don't have such control, that would load all css files from a particular theme. As my colleague Boyko suggested, what we use is the resourceLinks control.
As for your other question about the RadWindow. If you're opening the window in the context of Sitefinity, Sitefinity will have set the culture of the window itself. However, if your dialog is for example an aspx page it is out of the Sitefinity context and the resource references will not be parsed, because the aspx page won't pass through Sitefinity at all. For such scenario you can use the resources API to get a particular resource and set it as a text for some control (a label for example). here's an example on how you can get a resource entry in the code-behind of your dialog:
var manager = ResourceManager.GetManager();
var ci = CultureInfo.CurrentUICulture;
var resource = manager.GetResourceOrEmpty(ci, typeof(EcommerceResources).Name, "EcommerceNodeTitle");
Do you want to have your say in the Sitefinity development roadmap? Do you want to know when a feature you requested is added or when a bug fixed? Explore the Telerik Public Issue Tracking
system and vote to affect the priority of the items