When you don't log into Zabbix, you're regarded the guest user. Theme settings made for the guest user don't apply nevertheless. You need the change the global theme, which doesn't seem consistent.
How to reproduce:
- In the user configuration, change the theme for the guest user
- Log out (so you become the guest user)
--> Theme is the same as it was before
Guest user's theme is used, when you're not logged in