Why does it seem like achieving native-looking is a very good thing on Desktop applications?

I've seen a lot of developers trying hard to get their apps as native-looking as possible (relative to the OS) by using GUI toolkits like GTK+, WxWidgets and so on. It made me wonder if it is kind of a must or if i can go other way.

I like design languages like Material and Flat design, and i'd like to develop a desktop app with such characteristics, for i saw on the Gnome website that i can style my GTK+ 3 apps with CSS (including CSS3 features).

Do you have any advice on that, regarding to the User Experience perspective? Is there any impact on the UX by which i should opt for designing a native-looking GUI/UI?

I've only worked with web development and i want become a C++ programmer, so this is why my questions. I haven't made any GUI yet but i already have these doubts, so if you can help me, i appreciate.