If you are using Mac OS X Lion (10.7), you are probably familiar with Mission Control where different applications can be put into different virtual desktops.
Pic-a-POD only has direct control over the desktop of whatever space you are currently working in, even if this is a full-screen app's space.
When you move to a different space, one of two things will happen, depending on which option you have selected in the Options menu.
If you have checked "Set all Spaces to same desktop", then after you have moved to a different space, Pic-a-POD will change the desktop in that space.
If you have not checked "Set all Spaces to same desktop", then after you have moved to a different space, Pic-a-POD will change it's display and Dock icon to match the desktop in that space.
This will have no effect on Spaces in Expose for people using Snow Leopard, as all Spaces autaomtically use the same desktop picture.