The themes are predesigned color palettes our design team created 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 completing a Style you can also 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 an Membership, Auction, Online Payment, Donation, and Survey forms.