No, it seems to be a bug in the linux version that doesn't do anything changing the Color property. The second option works, but I don't get the expected result (it keeps another background color).
Anyway, trying this, I have probed TPanel, and it does exactly what I needed. I can draw a Tpanel with the same width/height of the form, and place the components inside it. Then, you can change the background of the panel. Of course it must have some disadvantages, but is the best option I have found.
There is another annoying thing: I have to cut my Checkbox and paste it on the created TPanel, or it wouldn't show.
Thanks, Antonio.