Part of the default Template for the Window class is an AdornerDecorator. If you override the Window's default Template to not include an AdornerDecorator, the FocusVisualStyle on all controls will not appear.
Even if a Control has a valid FocusVisualStyle that sets a Template, it will not appear without the AdornerDecorator.
An easy way to accomplish this is to include this Style in your App.xaml file under Application.Resources.
<Style TargetType="{x:Type Window}">
<Setter Property="Foreground" Value="{DynamicResource {x:Static SystemColors.WindowTextBrushKey}}"/>
<Setter Property="Background" Value="{DynamicResource {x:Static SystemColors.WindowBrushKey}}"/>
<Setter Property="Template">
<Setter.Value>
<ControlTemplate TargetType="{x:Type Window}">
<Border BorderBrush="{TemplateBinding BorderBrush}" BorderThickness="{TemplateBinding BorderThickness}" Background="{TemplateBinding Background}">
<ContentPresenter ContentTemplate="{TemplateBinding ContentTemplate}" Content="{TemplateBinding Content}" ContentStringFormat="{TemplateBinding ContentStringFormat}"/>
</Border>
</ControlTemplate>
</Setter.Value>
</Setter>
<Style.Triggers>
<Trigger Property="ResizeMode" Value="CanResizeWithGrip">
<Setter Property="Template">
<Setter.Value>
<ControlTemplate TargetType="{x:Type Window}">
<Border BorderBrush="{TemplateBinding BorderBrush}" BorderThickness="{TemplateBinding BorderThickness}" Background="{TemplateBinding Background}">
<Grid>
<ContentPresenter ContentTemplate="{TemplateBinding ContentTemplate}" Content="{TemplateBinding Content}" ContentStringFormat="{TemplateBinding ContentStringFormat}"/>
<ResizeGrip x:Name="WindowResizeGrip" HorizontalAlignment="Right" IsTabStop="False" Visibility="Collapsed" VerticalAlignment="Bottom"/>
</Grid>
</Border>
<ControlTemplate.Triggers>
<MultiTrigger>
<MultiTrigger.Conditions>
<Condition Property="ResizeMode" Value="CanResizeWithGrip"/>
<Condition Property="WindowState" Value="Normal"/>
</MultiTrigger.Conditions>
<Setter Property="Visibility" TargetName="WindowResizeGrip" Value="Visible"/>
</MultiTrigger>
</ControlTemplate.Triggers>
</ControlTemplate>
</Setter.Value>
</Setter>
</Trigger>
</Style.Triggers>
</Style>