Assume there are no more MUGEN Helpers and Explods that cause black background screen.....
Then there may be some MUGEN State Controllers, AssertSpecial, with a flag set to noBG......and perhaps some more flags are being used. Please refer to your MUGEN \mugen\docs\sctrls.html for details on the AssertSpecial State Controller.
So, you can try to search all the MUGEN files for something like "type = AssertSpecial" or just "AssertSpecial, then disable these AssertSpecial MUGEN State Controllers by the same way you have tried to remove the hyper background before.