This is a document based setting, so you have to save it in a template, and use that template for new documents to get the setting.
Keep in mind that the gradient background affects the thumbnail that is created at save and the thumbnails usually are undecipherable when created using a gradient background. Also, every poor soul who opens the file has to see the gradient background until they change it since it is saved with the file.
We have a gradient background in our template and the thumbnails are fine. It's probably because there's a good contrast between the part colours and the background - maybe the default black/white in the std templates isn't as good.
That's just it. With most parts being the light gray by default and most users using the black to white gradient, you end up with shades of gray right where the model is and it's hard to see what the detail is in the thumbnail.
Now if the background was not gradient but instead was a lighter solid color like light gray, SE automatically makes the background white when it creates the thumbnail. If it is a darker background it makes the thumbnail background black. White provides great contrast and works well in most UI's that display a thumbnail, for instance Windows Explorer.