If you are on Windows 10 this is normal. Windows 10 has been changed in such a way to prevent that feature working, so WB10 does not offer it on Windows 10. It continues to offer it on Windows 7 and 8/8.1.
You can change the colour of the explorer backgrounds with WindowBlinds, and a new Windows 10 specific system wide colour has been added for this, but textures are a no go.