Are you sure the page you were testing wasn't using the simple.master?
What _layouts page where you using to test?
If you are interested, I wrote a httpmodule for 2007 that would set the applicationpage master to be what the web's master was set to, for the consistant experience: http://www.thelineberrys.com/default-category/using-your-sharepoint-sites-master-page-on-all-application-pages-3.html
I did have to make a change to the code to get it to work as expected in SP 2010 using UIVersion 3 (because with UIVersion 4, there is an option to do this OOTB in your web application general settings).
Below is the new preinit that works with SP 2010:
void page_PreInit(object sender, EventArgs e)
LayoutsPageBase page = sender as LayoutsPageBase;
if (page == null) return;
if (page.DynamicMasterPageFile == null) return;
HttpContext context = HttpContext.Current;
string currUrl = context.Request.Url.ToString();
string basepath = currUrl.Substring(0, currUrl.IndexOf(context.Request.Url.Host) + context.Request.Url.Host.Length);
//Use RawUrl, otherwise it will always use the root web.
currUrl = context.Request.RawUrl;
if (currUrl.ToLower().Contains("/_layouts/") &&
currUrl = currUrl.Substring(0, currUrl.ToLower().IndexOf("/_layouts/"));
SPSite site = null;
SPWeb web = null;
site = new SPSite(basepath + currUrl);
web = site.OpenWeb(currUrl);
if (String.IsNullOrEmpty(web.MasterUrl) == false &&
web.UIVersion == 3)
page.MasterPageFile = web.MasterUrl;
page.Load += new EventHandler(page_Load);
if (web != null)
if (site != null)