I have found out that if you are using your computer for any reason (ie:watching Video, Moving the Mouse) it will not change the System Theme to the Dark Setting.  If you just let your Computer sit and not use it for a couple of minutes or sign out or restart the system it will change on it own.  This has been this way since I upgraded to Catalina and all the updates that has come out from Apple  since then. I just chalk it up as a work in progress and Apple does not think it a priority to fix.  Hopefully when Big Sur  comes out it is fixed.  My IOS Devices work just fine with it!