Themes update the color scheme of your entire diagram in a single click. Styles are specific color styles that belong to the selected theme. After applying a theme, you can change the individual style of any specific shape or group of shapes that will still match and coordinate with the selected theme. This gives you full power to create a custom look while helping your design look professional, like a designer made it.
Themes apply to the entire diagram and you don't need to select anything to make a change. However, to apply a specific style, you'll first have to select a shape. You can select multiple shapes at once.
Next, click Styles to bring up a menu of options in the Home tab. The styles shown in your drop-down menu will change based on the theme you have already chosen for your visual.