Comment 2 for bug 522471

Few possible solutions:
1/ Apply the menu background color to the slider's background.
2/ Add a frame surrounding the slider so it has a more attractive look when inserted in a menu.

Solution 1 can be a problem in itself if the slider is dark and the theme assumes it will be displayed on a light background (such as Night Impression, the theme used in attached screen capture)

Solution 2 might not be the best in terms of blending widget to the menu but would be the road to take to insure compatibility with most Gtk themes out there.