I'm not a pro but the moulding should match. Without a photo, I'm assuming you're talking about all the trim around the windows and doors that are usually white? You're talking about matching as in color ? Not style? If you're talking about color they definitely should match. If the style is subtly different but same color it will look fine. I'm sorry for the long answer, but without a photo, I wanted to make sure I understood what you meant.

Well color yes I'm going white but I was talking about if the style of trim/moulding should be the same around each door and window frame.

Depending on the style of your doors you can do a different trim around a door to emphasize the style of the door, but the windows should all be the same. Kind of a personal choice. If you are just talking about a standard door, then keep them the same.