Which version of photoshop and mac os x are you using?
As far as i know, floating document windows on the mac side are always grey no matter the the Color Theme selected in photoshop.
Maybe you want tabbed document windows?
Photoshop>Preferences>Interface>Open Documents as Tabs
Thanks - I'm using Photoshop CC 2014 on Yosemite.
I do have the tabbed settings turned on as you show. My problem is I use the same version in work, on a PC. When a window is floating, the black tab style stays with it - I have to say I'm not 100% sure there is an issue, and this might be because I'm jumping between PC to Mac OS and got used to the PC version, but I was certain it behaved the same way on the Mac. The other thing I notice when the Mac window is floating is that it covers over the tool palette, and collapsing Photoshop to the Launcher leaves the image window open if it's floating, which I'm also sure didn't happen previously.
I have Photoshop CC 2014 in Yosemite as well.
If your Interface Preferences have "Open Documents in Tabbed Windows" checkmarked, it should do that without fail unless you uncheck the Application Frame ((under Window menu in PS) in which case documents open in Windows.
Floating document windows will always have the gray bar, no matter the Color Theme you choose in Photoshop unlike Windows 7.
However if you go in Mac System Preference > General and choose "Graphite" under appearance, it will turn off the "traffic light" look and leave you with gray/white window control buttons.
If you minimize Photoshop in Windows, both PS and the Document Window will minimize, but in the Mac version, you can independently minimize the document window and the PS app. As far as I can see, there is nothing malfunctioning. Each OS has its' own way.