I'd guess the first cutscene with the guards got hung up somehow, and stealing again (getting the reaction and conversation with Leptine which ended normally) reset the hold that was placed on your character. I'm not sure why the graphics while teleporting would be affected... The menu and fog of war are removed for cutscenes, though I don't recall if that is also the case when caught stealing.
You should always save before trying to steal, since reloading is easier than loosing reputation or getting out of jail (though the first time you get caught you can usually pass it off as a misunderstanding).
