Hi,
InfoPath relies on some Internet Explorer settings. IE has a setting in the print options that is off by default which determines whether to print background shades and background images. Turn that on, and you'll get it in IP too.
There is a setting in both Designer and "Fill out a Form" modes located in TOOLS >> Options. Under the General Tab, check the check box of "Print Background Colors and Pictures".
NOTE: This is a per-user setting, meaning that each user will need to turn it on if they care to have the background shades/images printed