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.)