The artist backgrounds don't show up in the app itself. It shows up in the lockscreen, so it's obviously there. But it just doesn't show in the app when playing a song.
I've noticed that I have artist backgrounds when I'm connected to the internet, and when I'm not I don't get them neither in the app nor on the lockscreen. :/ It's really limiting and I really love the backgrounds. Edit: Sorry, the artists do appear, but not all of them, some only on the lock screen, as opposed when i'm online.
I never get any artist background. My region is set to US, I'm connected to 3G, but I still see the boring black background. I don't even get "Xbox music" as the title, just "music".