Do you have an update task for the theme file?
Having it in the policy won't do anything unless you also have the update task to match (just like the DAT task if that helps). I have mine set to run once a week.
An update task for it you say? I've checked out the update tasks we have & tried to create a new one, but the only options I get are to update the DATs, Engines, Packages & SPs - I dont see anything listed about themes or EE at all actually. I've been working with ePO for years & never had to change the theme on EE before so it could be I'm just being really stupid!
This is my update task, had to create a new task in the 'Client Task Catalog' for it as its not out of the box.
Edit: I only had to fix this the other day as well! going from 6 (black and red theme) to 7 (silver theme) not everyone updated so had to set this all up!
I've seen places where not all theme requirements are properly documented. If a theme does not adhere to the requirements EE PC will use the default one.