As Dude stated, Kriesi sells the themes with seperate images to ensure a user can easily modify whatever he'd like. Search engine rankings won't be influenced by using sprites and using them anyway will save you practically no time since the entire theme relies on bigger images uploaded by you (which take a while to load anyway).
You should be worried about the size of the images you upload yourself rather than the size of the essential theme images, since these last won't influence your load time in comparison to the images you pick. A good understanding of image formats can really help with this :)
I understand you're worried about the load time but we're talking about saving milliseconds. To do this would require an enormous amount of time creating the sprite image and positioning every background element.