what exactly is the problem, did vanish themes you have installed before update or you can't change themes they were preinstalled.
If themes, you have installed before, have disappeared after update, and you didn't perform full backup, then you have to install them once more.
If something wrong is with themes, which are actually on your phone try this:
1)set default settings (*#7780#), if it doesn't help make a
2)soft reset *#7370#, and then restore memory backup, you did before. If there still will be a problem, make again soft reset and restore from backup only private data without settings.
If no effect, reinstall software and restore private data from backup only.
Remember to make a memory backup regulary and before any reset or reinstallation of SW using memory card and NCC.
Well i too can't find any theme effect whenever i keep it on. Whats that theme effect meant for??