@sidhuten
Basically, there are only about 6 or 7 "Theme Packs" (depending on your Roku device or Roku TV manufacturer) and are located under Settings/Theme.
The Theme Packs will include a Wallpaper, ScreenSaver, and Sounds.
You can change your Wallpaper and Screensaver by going to Settings/Theme/Wallpapers or Settings/Theme/Screensavers, repectively, and then scrolling through the available options.
To change the Sounds, you need to change the "Theme Pack". (and then change the wallpaper and screensaver again so choose your desired sounds first.)
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The themes you mentioned above like Bee Mine and Earth and Space are actually "Wallpapers", so you will find them under Settings/Theme/Wallpapers.
And yes, Roku does occasionally remove some wallpapers and screensavers from the list, and at other times, are limited to certain devices or RokuTVs.
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