So I just downloaded a "The Matrix" movie wallpaper 75kb and set it as my wall paper. When I have the phone in the upright position, the wall paper is present and shows through the icons and time at the top, but when I rotate the phone to landscape it fills with icons and the wallpaper is no longer coming through the icons.

Is this how it should work?
Thanks
Steve

That is correct, the wallpaper is only present on the homescreen.

The remainder of the screens are theme-controlled.