inconsistent password dialogue UI

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Each of your screenshots correspond to a different privilege management application:
 * The 3rd party's own UI
 * GNOME Screensaver
 * PolicyKit
 * And a fourth exists, gksu

To be consistent, all apps should use policykit, because it's newer than gksu (as it's still supported, gksu is obsolete). GNOME Screensaver is a different case, as it manages screen lock. Anyway, Ubuntu's pĺan for this cycle is to drop GNOME Screensaver and replace it with LightDM (Unity Greeter).

Thanks for the update Fitoschido.
How about using gksu-polkit instead of the old gksu for applications which still use gksu? Does it make any difference in the UI?
I can see gksu-polkit in the multiverse repos.

If you install gksu-polkit and use it to run programs as root (i.e. running gksu-polkit nautilus in a terminal instead of gksu nautilus) then you'll be asked for your password with the PolicyKit UI. But I think it would be better that programs using gksu be updated to use PolicyKit directly instead of calling a separate application (gksu-polkit), but who knows :)