In Word, on the Page Layout Tab, click Theme. Then browse for themes and open thmx file. That may have been what you did. The page would remain blank. What changes primarily is the QuickStyles.

Office themes are a combination of fonts and colors. In Word they can be used in the QuickStyle sets and in WordArt so that a change of theme will change these elements. Opening your theme as a theme in Word will bring in the font and color choices of that theme.

A Word theme does not contain background or layout information like a powerpoint theme may. (I don't work with PP very much.)

You can apply Theme effects to various shapes in Word; I expect this would include WordArt.