Office 2010/2007 on Windows XP will always show a custom skin for the titlebars of the main windows. It also does this on Vista/7 when the DWM is disabled. On Vista/7 with the DWM enabled the frames skin (it is also possible to make a WB skin force the skin on Vista/7 when the DWM is off, but this is not enabled by default).
The size of the X will be controlled by the size of the OS caption height and it looks like the skin you are using has a very large caption
The grey will be coming from one of the skin system colours, probably the window colour which is why exclusions make no difference as colours are system wide. A different skin would probably not have this issue and this is one of the many reasons why dark skins are not ideal on Windows.