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.
Hi, Dr. Cwikel, Support for math background and math corners have been added to lyx. You should be able to adjust background and/or corner marker colors of math formulas when they are not under focus. This feature will be available next week as lyx 1.5.0 beta 3, or in June as lyx 1.5.0. Cheers, Bo