They block the UI very often (at least on Mac & Linux, but I'm sure this will happen on Windows too), because the're not being run from the EDT. This can easily be solved by using SwingUtilities.invokeLater for example.
They look awful :D. This can be solved by styling Swing, or by replacing them (the option I took).
JavaFX dialogs are the native ones of the platform (or similar; on Ubuntu you get the normal GTK one instead of the Unity one, but still looks very good) so they look way better IMHO :).
The existing file choosers have two problems:
SwingUtilities.invokeLater
for example.JavaFX dialogs are the native ones of the platform (or similar; on Ubuntu you get the normal GTK one instead of the Unity one, but still looks very good) so they look way better IMHO :).