Winstep Xtreme is a very powerful and flexible application, so it does have a learning curve. I suggest you ask questions here before you waste time re-installing the application just because you don't understand how something works yet.
When you change the background of a module using the 'Change icon' feature, this overrides any theme setting since you are basically 'hard coding' a background of your choice. The background you chose therefore remains the same even when you switch to a different theme.
If you later want the module's background to change according to the currently selected theme again, simply go to the Change Icon dialog for that module and click on the 'Default' button to restore the default background. It will now change according to the theme.
Not a bug and no need to re-install the application.