I am wondering about the same thing when trying this with a QSlider. Qt 4.7.0 on Windows machine. using plastique style and a custom style sheet for the sliders. I set the stylesheet using qApp->setStyleSheet(..) in the main application and

void MySliderDelegate:aint(QPainter *painter, const QStyleOptionViewItem &option,
const QModelIndex &index) const
{
... some init code ...
qApp->style()->drawComplexControl(QStyle::CC_Slider, &sliderOption, painter);
}

Regular sliders inside any widget use the stylesheet, the delegate doesn't.