The theme setting UI is common to core Discourse, so I can’t do anything to improve that setting in the component itself. It’s definitely something I’d like to see become a little more intuitive, or perhaps even have the ability to dynamically populate a searchable list at some point.
As for the local changes notice, I don’t think it should be warning you unless you have modified something using the Edit CSS/HTML button. Are you on an older version of Discourse? I believe that behavior should have been fixed in https://github.com/discourse/discourse/commit/5cf5e735361e81f5a7cad806122f6f10c28a9745 (cc @pmusaraj)