This is because Web Designer's Edit CSS function can't find your background images. Zen Cart's background images are referenced in your stylesheet using realtive addresses such as url(../images/header_bg.jpg). However Web Developer doesn't know about Zen Cart's structure and tries to apply this relative address relative to your site's root directory.
If you use Web Developer a lot, you may wish to consider working around this limitation by creating a directory called images at the same level as your site's root directory and putting a copy of your background images in there.
An alternate tool that is highly recommended is FireBug: www.getfirebug.com