MaterialDesignEmbeddedDialogHost and focus on open

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When using DialogHost in a `Style="{StaticResource MaterialDesignEmbeddedDialogHost}"` configuration, then when opening, the focus for the first focusable control doesn't seem quite right.
It can be replicated using dialoghost Sample 2 "pass view".

If I use the embedded version, then nothing seems to have focus.
If I add `FocusManager.FocusedElement="{Binding RelativeSource={RelativeSource Self}}"` to the first button in embedded a dialoghost:
However I can't just hit enter on that button and there's no dashed lines in the button like this either:
Which seems related to it setting logical focus, but not physical focus: https://docs.microsoft.com/en-us/dotnet/framework/wpf/advanced/focus-overview#logical-focus

Reproduce the issue with DialogHost Sample 2, “pass view,” using the MaterialDesignEmbeddedDialogHost style. Compare focus behavior when opening the embedded dialog, including keyboard activation and the visible focus indicator; done means the first focusable control receives physical focus and Enter activates it.

Written by the indexing model from the issue text.