Does the mere fact that they are mentioned in the original theme's css file cause the images to load?
I suspect it depends on the browser. But I detoured to double-check and got the same results in three browser families-- Firefox, Safari, Opera. In all three, the stylesheets are loaded before any background images. If a later stylesheet overrides an earlier one, only the final background image is requested.
For FF and Safari I tried it with a local style overriding the shared stylesheet; then I shifted the changed part to a second stylesheet and tried again in Opera. Same thing.
That's based on actual requests recorded in logs. But remember that if you have a stylesheet that says "background-image: suchandsuch" and it's being overridden by another stylesheet with no background-image, it isn't enough to make a fresh "body" style omitting this line. You have to say explicitly "background-image: none" or the earlier style will be used. Stylesheets are cumulative.
I didn't test, but I strongly suspect that any conditional images-- such as "on hover" --are loaded upfront, concurrently with the ones that are there all along. You can test this pretty easily if nobody knows offhand.