I too now have to report that, at least in Lyx 1.4 3-4 running under windows on my computer, the option for changing the colour of the math background does not change anything.
Thank you very much for confirming this. JMarc immediately pointed this out when I suggested this obvious solution. We are in the last days of preparing for a 1.5.0 release and a quick fix for this may be able to squeeze in. Cheers, Bo