Since most flagship Android smartphones tend to spot similar hardware, what Android manufacturers have done to differentiate themselves is by introducing proprietary software features to tempt customers to buy their device instead of a competitor’s. In Sony’s case, one of the features that they introduced was Xperia Themes.
Unfortunately, it seems that while it might have been a nice idea on paper, it turns out that not many people are using it which is why Sony has announced that they’ll be dropping support for it. This is confirmed on its Sony Mobile support page where according to Sony,
Based on the low usage rate, Sony has decided to remove the Theme function in Xperia XZ3. You can still download and use wallpapers from Google Play store on Xperia XZ3. You can also apply live wallpapers from these themes.
However, the dropping of support seems to be only for the Xperia XZ3, but given that Sony is citing low usage, we wouldn’t be surprised if eventually, other Sony phones that have and use that feature might also drop support as well. Chances are that this also means that future Sony phones won’t come with the feature either.