How do you change a screensaver scene/theme?

You can't choose a specific Aerial to play on your Apple TV. But you can set how often new Aerials are downloaded.

Aerial screen savers on your Apple TV - Apple Support

Screen saver on which device?

on iDevices, (And iOS/iPad OS13), settings, wallpaper. Tap on the one you want to change and choose one you want

In previous iOS versions you may find this under settings, display

For a mac you go to settings, display I believe