To quote bagginsbill, from another thread:

*This is intentional. Most people want the prop or figure to be against a transparent background when saving as PNG, so it can be superimposed on web site backgrounds and so on.

The background color setting will effect what you see on the screen (since something has to be drawn) and will be used if you save to non-transparent formats, like JPG.

If you really want to save as PNG, but you also want a solid background, then put a really big one-sided square behind your scene and color it as you like. This will fill the background completely.*

Or you could use an environment sphere/dome, such as the excellent free one from bagginsbill himself. (The quote above was from a time before he made it.)

"If I were a shadow, I know I wouldn't like to be half of what I should be."
Mr Otsuka, the old black tomcat in Kafka on the Shore (Haruki Murakami)