A few things to check. First I’d make sure that Discourse and the theme component are up to date.
I would then try using the preview button at the bottom of the theme component’s setting page — this will show the theme component in isolation.
If the preview works, there’s likely a conflict with another theme. If it’s not working in preview I would check if you have Theme can be selected by users enabled on at least 2 themes, which is a requirement for the component to work.
If it’s still not working, maybe right click the page, select inspect, and check for any errors in the console.