It used to be they didn't render high-dpi text correctly, but fixes went in for that. Even so, it's a hack and often not pixel perfect. If you're trying to do visually sophisticated things (soft shadows, fading animations), GDI+ is inadequate. So basically it looks antiquated. It might be fine for simple form-like programs.

My main point is that "native" covers a lot of ground, and "native legacy compatibility" and "native modern" are radically different technology stacks on Windows.