Many do, but they don't have to. Look at Eclipse as an example of what can be done.
Also, there's no indication that the store will be limited to Java apps. Sun is basically selling slots inside its Trojan horse.
While Eclipse is indeed one of the best Java desktop applications I've seen, it's still much worse than most "native" desktop applications (at least on OS X) in terms of polish and performance (though it certainly has a lot of functionality)