pfaugh, man. if that's working exactly like ff8 does on console, you can change the background from that grey to 'classic' (blue) in the config in the in-game menu...but only to blue, there isnt the level of customization there is in ff7.....
at least, i think you can do that in ff8....mebbe i'm getting confuzzled with ff9...cant remember, been too long since i played.