I just applied a custom company theme on SharePoint modern site (which works perfectly fine) using tutorial from https://docs.microsoft.com/en-us/sharepoint/dev/declarative-customization/site-theming/sharepoint-site-theming-overview. I can find the "Change the Look" button after the "Site Permissions" button as per screenshot below:
However I found that "Change the Look" button is not available on other sites which web template type is "Publishing Site". I just need to change the colors within the modern "Site Contents".
I tried to manually access the design gallery from /_layouts/15/designgallery.aspx
and it still doesn't show any of my new color palettes.