A theme is a slick "professional-looking" pre-made starting point for your movie project, if you choose to use one. When you create a new movie project, you can select a theme. For example, if you choose Newscast, there are some animations added at the beginning and end of your video that make it look like a local TV "breaking news" spot.
You can change the theme after creating the project, by right clicking on the project area, and selecting Project Theme. The best way to understand how it works is to create a new project, with any theme. Drag a video clip into the project. Play the video. You'll see the theme, and you can change the theme to see the other ones.