So, I checked again, and in the latest version of the editor, having the proper background for the tiles panel works - at least when you select e.g. L2 Shadow as a level theme (like when creating a new Shadow level). Then the bottom menu with the tiles panel switches to it as well.
However, when you open an already existing level in the Shadow style that has the blue background, the background behind the pieces in the tiles menu at the bottom remains black, even when you switch back and forth between different tiles menus at the bottom.
The only way to reverse this is to change the level theme to a different one, and then back to Shadow. Then the backdrop at the bottom is also blue again.
As such, this is a really minor bug - but nevertheless, it seems like the tiles menu at the bottom should know what the current level theme is, also when you open a level using that theme as its primary one.