Download latest software or open your PCF in Advanced Mode. The System Device is located Just above the Home Device. There are 3 pages in the System Device, one is named "System Page".

If you need different backgrounds for individual devices (not a common system background), you will need to paste a panel containing your background image on each page of the device.

Press F1 from inside ProntoEdit for more help as well. And... if you have not already done so, you may want to read the Pronto and Pronto NG FAQs.