When updating a theme a little notice pops up saying 'Updating this theme will lose any customizations you have made. 'Cancel' to stop, 'OK' to update.' - presumably meaning custom background, custom header etc. But it's very easy to mistake it to mean 'You will lose all your theme options'. Or even, 'Only this theme has this problem.'
Could it be a little less minimalistic? How about, 'All themes when updated require some maintenance. You might have to reset your header image and background but all other settings will be saved.'