Not sure if this is an issue, but I noticed that the design of the sign in area is different before and after you sign in. When I choose a theme, it only stays as my theme till I log off. Then I have to re-choose it again when I log back on. This is actually the first time I've really used different themes, so I don't know if this is how it's usually done. Whenever I customize my profile page, I change the lettering of the active modules to white. But when I leave the page, they revert back to light blue-green. This isn't a big issue, but every little thing counts, eh.
Nope it should always be set to the same theme you last chose, ensure your browser has cookies enabled. As for the login bar - yeah... It's just 'like' that - I'll try and make it like how you in at some point next week Not sure about the CP - Never done it myself (lol?) Derpy Hooves seems to work ok though, I'd guess again it's a cookie issue?