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.
Cloud does support themes, but the docs for 5.9 are completely out of date for Cloud (you can think of Cloud as being 6.5 at the moment)
Hi Community! I’m Elaine, Confluence Product Manager. You may have read my earlier post about page tree in space navigation sidebar. I'm excited to share another improvement that helps you organize ...
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