There seems to be no way to change the general menu/dialog/display font for GTK apps. The theme selector should be able to do that but it doesn't (selecting a font there does not affect anything at all).
If I go to the theme selector, check "Use custom font", change the font using the button, and hit "Try", then "OK", my global GTK+ font changes properly. The only idea I have is that you might have manually edited your .gtkrc and put in something which is overriding the settings from the control center. (I'm marking this WORKSFORME, but feel free to reopen if the above is helpful and you still have the problem.)