I don't think Apple allowed SDK to go that deep into the system so to speak. But I am with you as I would like to see Apple implement this feature. I mean come on, what could it hurt? And would bring more pleasure to the phone.
Does the Mac OS allow you to change your desktop theme? If it doesn't perhaps Apple is just being stubborn to be anti-Windows.
With the advent of the App Store, no two iPhones have exactly the same third-party functions. I would love to see in the future how no two iPhones have exactly the same home screen look. They could make it user-configurable for those who are good with Photoshop. For the rest of us, they could SELL desktop themes in the App Store. They could have movie studio and name brand licenses of home screen themes. If Steve Jobs was smart, he could take something that users want and turn it into a money-making venture.