I'm not sure if anyone is still checking this thread or not, but it was the first to come up on Google, so I'm just going to mention my solution to this problem here.
I also had strangely not been able to access the Graphene, Decaf, and Nebula themes, and while searching for a solution, and meandering through all of my system settings, it popped into my head that my network-wide ad-blocker/firewall (I use Pi-Hole), which does block all the Menu ads on my Roku. It made me wonder if it might be incidentally blocking the domain the Roku uses to access those particular themes too. Sure enough, I temporarily disabled the ad-blocker, and it worked!
TL;DR: if you have a network-wide ad-/domain-blocker, try temporarily disabling it, to see if it's blocking your Roku from downloading/applying those themes.