Sorry for not posting for the last couple of weeks. I’m in chilly Minneapolis, Minnesota finishing up the video edition of Microsoft SharePoint 2007 for Developers class for AppDev. More on that in a future post!
It turns out that the location of theme images does not allow anonymous access by default. The reason I didn’t notice this before is that I generally use the blog site as the basis when making themes and it is configured for anonymous access. The next version of the tool will replace the picture box load-async mechanism with something that will allow passing of credentials. In the meantime, if you are having this problem, try enabling anonymous access for your target site and see if the images appear.