Yes, some of templates do not support banner uploading feature and that's why it is not accessible for some of them. I wrote a little script which checks if template does support banner uploading or not and in the attachment you can find the list for fresh 4.1 installation. As I figured out 273 of all templates do support this feature. In the attachment you can find the list of templates which should support banner uploading feature.
Hope it will be useful.