I did a bit of testing on this question and here's what I've found so far:
To see a theme effect on a smart art object, insert the object into your
Word docx and do NOT apply any direct formatting to it.
With the smart art object selected, go to the design tab and in the Smart
Art styles gallery click on a style that has some effects, such as the one
named Moderate Effect.
Now go back to the page layout tab and try different theme effects from the
theme effects gallery. You should see significant differences between the
effect choices now.
As far as I can tell Theme Effects have no effect on Shapes, Wordart or
other objects. Also, if you apply any direct formatting to a smart art
object rather than applying a style from the gallery, theme effects are
basically disabled for that object. I think the reason that most people see
almost no changes to smart art objects when they change the theme effects is
because they are using the default smart art style-simple fill-which has
almost no effects to change.