Application themes are not supposed to be changed runtime. The application theme is applied to the controls when they are created and if you want to affect your application you will have to remove all control instances and recreate them.
Or you can bind the telerik:StyleManager.Theme property on each control to somewhat combobox and change the themes via that combobox's selected item. This will require some extra effort -you will have to put the binding on every existing control in your application.
I believe our demos recreate the pages when the theme changes.
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