Yeap, it's normal.  Setting a wallpaper through the PHOTO menu will hide the waves.

If you want a background and a wave at the same time, the only way to do this is by flashing a background (the 01-12.bmp file located in flash0:/vsh/resource ).  Just convert your picture to JPEG and rename to 01-12.bmp and flash it on.  (as usual, keep a backup copy of the original 01-12.bmp)  Note that using higher resolutions, such as 480x272 may cause icons to screw up.  Also note that you need to set the theme to January.