The Themes folder is one of the repository folders in Jaspersoft that includes the default CA PPM user interface themes. Each sub folder under the Themes folder corresponds to a default CA PPM user interface theme.
When the users access Advanced Reporting, the user interface theme in Jaspersoft changes to match the user interface theme setting in CA PPM.
On changing the PPM UI theme, this will be reflected in the Jaspersoft UI Theme.
This is working as designed, see also the online PPM manual for further detailed information.