It seems like a bug in the IE 8 Developer Tools. There is something it does not like about the jQuery UI CSS loaded from the google CDN.
When I disable jQueryUI like this: <add key="DisablejQueryUI" value="true" />, then it works and I can see the CSS in the developer tools.
I thought maybe it just does not like loading the CSS from a different domain, but that does not seem to be the problem. If I use a page with a Twitter widget on it it includes an external CSS file from Twitter and it works fine. So it seems something specific about the CSS for jQueryUI that it does not like.
I generally use Firebug plugin in Firefox.