That's hard to say for sure. If you download a .xptheme file, then yes, the windowblind will be packaged(zipped) in the theme. If you download a 1k excutable, you can check to see if it is going to download the windowblind again, and uncheck it if you already have it. Then maybe you can re-check it when you apply it from winstyles. But, if it creates a full package then, yes, the windowblind will be zipped. One way to check is to look for large .xptheme files on your computer(in winstyles). And, then if you have two different versions of the same windowblind, everything changes.
Personally though, I don't worry about it. But, I have 200GB of space. And, I like my themes packaged for back ups to CDR.
Anyone who can explain this better, please do.