I searched all over and found no one could provide a decent answer. It appears that certain Roku devices do not support this option. I eventually got a new device (not because of this issue) and the new one has no problems at all with themes.
I have a new Roku Express 4K Plus and it won’t load some of the themes I’ve “installed” from the My Roku account site. Seems hit or mis and some are under the wallpaper or screen saver listing not under themes (where I chose them). Is this an model/product issue?