It depends on what you want. in those screenshots gnome 1.4 and gtk1.2 are being used, and lazarus is compiled using 'gtk', for a little tighter integration(dialogs menubars and a few minor icons etc), you can use the 'gnome' interface. However if you are using gnome 2.x/gtk2.x then you will not be able to get the same level of integration yet, because the 'gtk2' interface is not finished, and so (obviously) there is no 'gnome2' interface.
There is no KDE integration because the 'qt' interface doesn't work, because up till recently there was no work on QT headers for pascal, recently on the mailing list Florian Klaempfl has shown some great progress toward working qt headers which should be compatible with kylix as well, and thus a qt interface can be started. Once that works you should have good tight integration under kde if you so desire, but that is possibly a long ways off unless enough people jump on board once the headers are available and help out.