The folder "themes" should be created manually (when you using it first time) in the mentioned below folder of OBS settings.
The OBS settings folder is accessible via the main menu
File>Show Settings Folder
Code:
basic
crashes
logs
plugin_config
profiler_data
themes ---> user made folder for custom themes
updates
global.ini
In Windows this OBS settings folder is surely lies in
%APPDATA%\obs-studio
if you are not running the portable mode of the OBS application, otherwise it lies inside the
config\obs-studio
folder of the portable installation of OBS (created after first run of the OBS). But in both cases (portable or not) the "themes" folder itself is not created - it is optional, and should be made manually.
Here on the forum I know at least one user (myself) that recommended to use this folder of OBS for custom themes, and the themes he (me) made now is outdated (missing some icons, icons scaling disproportional in some places etc).
Most of other authors recommends to install theirs themes to
data\obs-studio\themes
which is part of the OBS installation.