The link points exactly where it should, the project of our demos where the theme is changed dynamically:
If you care to open the project you will find:
https://github.com/radzenhq/radzen-blazor/blob/master/RadzenBlazorDemos/Theme.razor
https://github.com/radzenhq/radzen-blazor/blob/master/RadzenBlazorDemos/Services/ThemeService.cs
and other useful stuff that might help you to do the same in your own app.