It's a new bug in the Sense UI's latest two versions. I've run into it while writing my own live wallpapers... if you hit Home after starting an app from a different screen, Sense doesn't tell the wallpaper that it needs to move back to the Home section.
Other launchers have similar bugs, plus others. For instance, not telling the wallpaper that you've changed the number of homescreens, until you do an orientation change as well (landscape to portrait, etc).
Grrrr.
AFAIK, you can only have one live wallpaper at a time. I suppose you could write a custom launcher that started a new one on each page, but the delay would be nasty