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The fact that drupal does not use the chosen theme on the blocks page is an improvement. Now the admin theme controls the look of this page and keeps you from naughty surprises and funny styling issues due to a themer having not looked how the blocks page looks.
But alas, it comes at a cost - now you have an even harder time to instantly realize for which theme you are setting the blocks.
A very simple and effective means could solve that: Just put a small version of the chosen theme's screenshot in the upper right corner next to the tabs that choose the theme for which you edit the blocks. Simple, effective, hardly any effort.
PASSED: [[SimpleTest]]: [MySQL] 24,806 pass(es). View
FAILED: [[SimpleTest]]: [MySQL] 24,811 pass(es), 0 fail(s), and 50 exception(es). View