It won't appear in the CMSDesk. It will appear in the Site Manager>Development>CSS Stylesheets>Your stylesheet>Theme tab. Under there you will find your image.
I should state, if the stylesheets code name is the same as the directory name in the file system, then it will show there. This is the case if the stylesheet was created within the UI. If the App_Themes/Companyname directory was created in the file system and the stylesheet was not created in the UI you will not find what you are looking for without going to the file system.