I personally really like the idea of having a theme. To me, it gives all of the music a little bit more continuity. I know I have some trouble grasping the "older" generation of drum corps shows. The music is all excellent, but the shows don't make much sense. But, they are entertaining.
So, in the nutshell, as long as it's entertaining then whether or not there is a set theme or not doesn't particularly matter. Like, Phantom Regiment's "Harmonic Journey" and Carolina Crown's "in.trance.it." will always be two of my favorite shows even though their themes are hard to grasp.
And, on the flip side, Vanguard's "Scheherazade," Crown's "Triple Crown," and The Bluecoat's "Criminal" will always be three of my favorite shows with themes. The most important thing, in my opinion, is that the music has some kind of continuity, rather than just being randomly thrown out there.