Very near the top of the plugin's code (version 3.0.1) you should find
define( 'DS_THEMES_DISABLE_ORIGINAL_MENU', 'TRUE' );
That'll cause the ds_unset_themes_submenu function to run which both hides the original Themes menu (so you don't have 2) and add a redirect for any request of the original /themes.php
So here's what happens under twentyten in my install when I save a custom header.
When I go to "Appearance->Header" (which if the above is "TRUE" becomes /wp-admin/widgets.php?page=custom-header instead of /wp-admin/themes.php?page=custom-header ) and save the page returns to /wp-admin/widgets.php?page=custom-header.
What theme do you have causing a bjork? Maybe it needs a tweak in how it adds itself to the appearance menu or how its form action submits.
Search the offending theme's functions.php for "themes.php" and see what you uncover.
For example, change something like this
<form name="custom-colors" id="custom-colors" action="themes.php" method="post">
<form name="custom-colors" id="custom-colors" action="" method="post">