This feature has been there since Windows 8 for the desktop. In Windows 10 this works for the Modern shell too (boot screen, shut down... not sure about login/lock screen). You had to use Decor in Windows 8 for the Modern shell.
It would be difficult to implement this feature in WB because not all skins recolor well. And if you want a "perfect match" it's better to use the settings in WB and do it yourself.
Off Topic: I would like a feature that shows the wallpaper under all transparent parts. A feature that omits anything but the wallpaper from being shown under a transparent window. This would allow for fully transparent themes that were still usable. It's windows shown below other windows that make fully transparent themes annoying.
From a skinning perspective it's sad we don't have more possibilities today than we had ten years ago. It's true for all platforms. I know why this is so, because developers have to work against the tide just to maintain status quo.
Windows Vista introduced "Aero" (transparency, blur and parallax stripes) to the masses and then came nothing.