The themes are predesigned color palettes that you can apply to your event form. Just above the preview of your event page you will see a dropdown field titled, Select a theme to change the style. Here you can select from the predesigned color palettes. 

Also after customizing your style you can save it for future use by clicking the Save Current As button on the right above the Preview. This will allow you to give the style a name and that same style will be available when setting up any other event pages as well as Membership, Auction, Donations, and Survey pages.