Hi. Mine looks a bit different because my "Modern controls and themes" is under "Updates" and not "General". I had also had it turned on before, so I tried to turn it off and that's when the "Theme" menu was displayed. Though it's now under the ellipsis along with settings and background color and image.
I think you should include 'modern control settings' to enable theme setup,
It's possible to do so following steps as below:
1- go to setting
2 -after enable 'modern control and themes'
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