The answer is that it is considering your choice, but you don't have many applicable choices aside from Breeze/Windows/Fusion (none of which is a dark theme!). So you may want to install the package qt5-style-plugins, which enables the option "gtk2" in lxqt-config's Appearance section besides a few others. Selecting "gtk2" then makes the Qt theme engine imitate your GTK-2 theme.
sudo apt install qt5-style-plugins
Doing this prints the following:
The following NEW packages will be installed:
qt5-gtk2-platformtheme qt5-style-plugin-cleanlooks qt5-style-plugin-motif
qt5-style-plugin-plastique qt5-style-plugins
Now go to lxqt-config's Appearance, and select "gtk2" as the Qt theme. This applies your selected GTK-2 theme (e.g. Arc-Dark) as the Qt engine's theme. Log out and log in again to make sure it is completely applied (I noticed a few buggy incomplete details when not logging out, fixed after doing so).
This other answer, specifically about the "gtk2" option, has a helpful screenshot.
Explanation:
As PCMan (the main developer of PCManFM-Qt) says in this GitHub issue, that file manager simply follows the default Qt theme engine, and there is no code to change that. This means that to change the styling of PCManFM-Qt, you must change the default theme of Qt applications.
Lubuntu currently ships with only three themes, Breeze/Windows/Fusion, and as somewhat helpfully hinted in the dialogue, the way to try to make Qt apps follow a GTK theme is by selecting "gtk2" as the Qt theme.
Best Answer
Open PCManFM. Choose Edit->Preferences. Navigate to the bottom and set your View Mode.