How can I change the background animations?
- The 'fire' in Castles and Ghost Houses
- The erupting volcano

I think it're some pictures in a file in the ROM File Browser...
But I don't know where..

Animations are the files in bg_ncg named d_2d_TEN_blahblah_ncg.bin

You'll have to edit them manually with the same palettes the background files use. NSMB Editor has no support for doing that automatically.