Note 72: As you enable themes in an existing project, the forms will not be properly updated with themes at design time until you close and reopen the project. This is because the setting is checked when the project is loaded.
This blog post (which refers to the new "Themed Application" option of Delphi 2007 projects, covered at page 179) is part of my "113 Delphi 2007 Handbook Notes" blogging project, to promote my new Delphi book.