Hi tin tin,
I've tested this out and I see what you're talking about. Thanks for pointing out this problem. We've actually not had anyone point this out after several years of the software being available and tens and thousands of installs.
A workaround could be to use a paper scrap as your background. So, add the scrap, stretch it to fit the page, and then right-click and choose Lock to lock it in place as your background.