I've addressed this in version 1.6 which I'm not sure when I'll get time to work on so if you want to remove it yourself that's fine.
To do that you'll go to your plugins page, locate the vegas slider and hit Edit (or go to plugins -> editor) then select the plugin to edit: vegas slider. Now on the right hand side you'll see "vegas-fullscreen-background-slider/css/jquery.vegas.css" click that link and now you're editing the right css file. :) Next look for this snippet of code
and just go ahead and delete that. I had it in for testing purposes early on and forgot about it. Oops :X
Edit: honestly though, your website loads pretty quick and from what I could tell that missing image only accounted for 500ms loading time and I was still loading around 2.5 seconds if not faster.