I know, I have the Hero and how unfortunate it is that Android doesn't do this cool thing. As you noticed, Android 1.5 uses a single background which it spreads across all the screens whether you have 3 as in native Android or 7 as the Sense UI has. I even tried to splice together a couple of smaller images, but all that did was partially show either image as I was sliding through the 7 homescreens.
Anyway, I just use a pitch black background now since I want to save as much battery life as possible thinking it might since it doesn't have illuminate all the screen pixels in between the icons and widgets. Its probably not much battery savings, but every little bit helps.