Could you please offer a screenshot about your modern page when you click Gear Menu?
Per my test, in modern team site, when i click Gear Menu->Change the look->Theme->I will get the theme like the following:
The themes and screens you have displayed are only for the Classic UI. (I.e. they only work with Master Pages.)
Modern UI themes really have nothing in common with Classic themes.
I got the same problem and stumbled upon this post.
For anyone who still has the problem: Make sure you connect to the right session and use the connect-sposervice and not connect-pnponline.
In my case this was the problem.