Colvi_aja is right that VCL-styles and theming are not 100% the same.
Before styling there was also some theme support but that was more geared towards commctrl (Windows XP+ theming) support, which means that you toggle some property bits in the wincontrol, and then windows theming is allowed.
That kind of theming came with afaik D7 (with the "WinXP theme" component), but in not to old versions, units could be plugged in to make them support that too.
Do you mean the xpman unit? AFAIK it just embed the manifest file to tell the system we will use the newer version of comctl32.dll (version 6 which came with Windows XP). Lazarus also using the same approach "Use manifest file to enable theming" in Project Options.
AFAIK, the theming library like alphaskins, almdev, ksdev, devexpress, delphi's VCL-Styles etc just wrap the common controls with their own controls to override the paint event. With exception of heavy theming(alpha blending, animation etc) you have to use their special control due to limitation in common controls. In Windows, we usually use openthemedata...drawthemebackground..closethemedata, they override this part to use their own theme engine.
I believe it can be done with Lazarus too.