I feel these elements go together naturally because you often want to create a corporate standard for your diagrams, and the background, borders, title blocks, and themes go a long way toward establishing this.

Microsoft Visio 2007 introduced Themes to replace Color Schemes, which meant a whole lot of work for the development team because they had to go through all the Masters in the standard stencils to make them work with the new method.

In addition, Themes do some of the same stuff as Styles, but without some of the refinement. For example, Styles can be applied to individual shapes, but Themes are for a page or document.