Theme support is currently disabled in Audacity.
There is likely to be a new and much improved method for customising the visual theme in future versions of Audacity.
The old method of customising the theme may be enabled if you build Audacity from the source code and enable Experimental Theme Support in "/src/Experimental.h", but it is incomplete and probably not worth the effort being that it is due to be replaced in future versions of Audacity.