Did you change the option for the header link on the main Dashboard? When you upload an image, it may get turned off and it has nothing to do with the Graphene them as far as I know.
Go to Worpress settings and there is an option to turn on the header home link. Hope this helps.
The header image link is there, but currently it is not working in IE because of how IE handles link with no content. This will be fixed in version 1.7.2.
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