Actually, I think I see the problem --- in your code, if you select the first item, you're removing your theme entirely for some reason. Maybe just remove that condition and see if you're able to get what you're after:
procedure TForm7.WebListControl1ItemClick(Sender: TObject;
AListItem: TListItem);
begin
Application.InsertCSS('themecss',AListItem.Text+'/theme.css');
end;
Or if you truly want an option of having no theme applied, add 'No Theme' as the first item in the list and use the code as you originally had it, and things should line up properly. The "ItemIndex=0" condition would then arise when "No Theme" is selected, whereas right now that condition arises when "bluevoltage" is selected, which is probably not what you intended.