Weird, are you still using OS .330 on your phone? If so, that's probably why it works... If I change the background on mine, it puts it up in the banner section and leaves the zen theme background over my icons. I know they changed how themes are rendered around .400 or so, some of my themes that worked had massive problems with transparency and fading in and out.
Anyway, the wallpaper from the home screen is supposed to be applied to the icon menu, but it seems there's a bug in the current theme maker that prevents that from happening. I can get around it using WinDbg, but it's a royal PITA to do. Once I release some of the themes I'm having people beta test, I might try to fix that up for the final release.
Glad it works for you though! Like I said, it's an incomplete theme really, but I had noticed on the simulator that you just end up with an icon menu, so I thought that should work.
Click on the link below for some great free Blackberry Themes 
