I'm also having this problem, I can play one song fine, and I can retry that one song as many times as I want, but as soon as I return to the song select screen, the backgrounds stop appearing, and when I try to play a song then approach circles are gone, similar to when using hidden, except that the notes don't disappear, it's just the approach circles.
Restarting osu resets the problem, but after one song its off again to the land of no backgrounds.
I use OpenGL, DirectX doesn't seem to be producing the same issues, but I can't use DirectX because every 5-10 seconds it will get stuck and the notes and mouse will stop for anywhere from a tenth to half of a second before jumping forward to match the song. (though that's beside the point as it's not the issue being discussed here)
Image exampleDisregard the lack of a number on that first slider, that's not there because I was taking a screenshot instead of playing and the slider started without me
When using the defualt skin, the circles don't show up at all, the slider ball isn't there, the approach circles are gone, and the scores from hitting notes don't appear, and there's no health bar or score display. It's just sliders with no numbers that do absolutely nothing save disappear whether you hit them correctly or not. Switching back to my custom skin put it back to the lack of only approach circles, then changing back to the default skin again still got rid of everything else.
D