Yeah, this is also a problem for Metroid. I initially tried doing the same as suggested above, selecting foreground and increase the zscale... imagine my surprise when I reset and saw the password screen. All numbers from 0 to 9 were stretched like crazy. And if I applied the same treatment to the missile icon missiles in-game would probably also get stretched like that.
Now with Metroid there's hardly any backgrounds at all, so it'd be possible to move everything except the meters to the background... but it just looks off.
So yeah, along with back and front it would be best to also have fore-front.
In fact, I'd take it a step further and add "far back" too, for those cases in which the sky is threated as an object (see level 3 of Castlevania or the background of the underwater levels in Mario).