I think this is simply because of the font that is being used by these different themes. Neptune appears to be using Helvetica as a first choice, and Arial as a second choice. On my machine Helvetica isn't installed, and so Arial is used, and in the Arial font the Yen symbol is represented as "¥". The Blue theme is using Tahoma, and in this font the Yen symbol is represented as "¥". You could try applying a different font to the Blue or Gray themes if you want to change the appearance.