For whatever reason, it does not export the background color. At least not with PNG.
This is intended behavior:
...As PNG sigils are exported on transparent background without glow. (post)
That's what people were asking for and it makes sense - it's very easy to add solid background if you have a transparent image, but much harder to remove it. I could add a solid background as an option, but it seems to be an overkill for such small application.