This also happens with me. I think it's not a bug, it's just that Rockbox takes some time to process and draw the theme on the screen, only disappears completely after the theme and menus are completely drawn.
This is more visible in the themes where the viewport (the area of the screen where the menu is displayed) is smaller than the screen size, because the menu is the last thing to be drawn and a bit of the previous screen (in this case, the Rockbox splash) is still being displayed.
I hope I have made my post clear
