The background is just for show, neither the background or grid show up in the finished model. In fact a number of things don't show up in the finished model exactly as Shape shows it (although they will still be there when you edit the model) some of them are:
Construction lines
Lines made with the draw tool
The grid
The sky
Shadows (they still show up but not as you set them in Shape, that is dependent on what Shader you use)
Everything else does show up I believe. SO if you really want to change the background, just make a dome or cube shape, texture it, and move it around your model because in the finished project you won't have the cloudy sky of 3dvia Shape.