Nice start. How big is this thing?
I've posted on this forum before asking opinions about using drylok for backgrounds and have never gotten much of a response. I guess not many people here have tried it. I've seen it used successfully on other forums though (I don't think I'm allowed to post links to the competing forums though).
I don't believe that concrete does much to combat the buoyancy of foam (you would need a LOT of concrete for that). I think it's really the silicone/adhesive/wedging that holds the background in place, so I wouldn't worry about that aspect.
Krylon has been used successfully to paint internal aquarium plumbing so it wold probably work for a background, but I worry that it would be hard to work in sufficient details with a spray paint. I think I've seen a build where Krylon was used to add in some highlights.