Looking at that site, following it exactly and trying to apply a theme, except under Choose a new theme, there is nothing there and there isn't a link to "find more themes..."
Currently using a trial version, which could be the issue, but weird they would do a free trial and lock off features.
Are you using Confluence Cloud or Confluence Server?
If it is the former, then I am not sure if themes are fully supported (or supported at all) for cloud deployments. Check the same page in the doc of the Cloud version!
Cloud does support themes, but the docs for 5.9 are completely out of date for Cloud (you can think of Cloud as being 6.5 at the moment)
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