You should log an incident with Developer Support so you can include a test project that demonstrates the behavior.
Actually, I just checked, and I might have been mistaken - it looks like you can set the UltraExplorerBar.Appearance.BackColor, even without setting ThemedElementAlpha, and have that color applied regardless of whether the control supports themes. If you are seeing different behavior, you should dowload the latest version; the problem you are experiencing could be attributable to a bug that has since been fixed; If you try with the latest and you still see a problem, log a bug report so the problem can be further analyzed.