Thanks for trying it out!
Yes, you are correct that the theme is not remembered. The reason is that there currently are no cookies, no notion of session or user. The default can be configured in index.html, which is not easily accessible or modifiable with node-red. I'm currently using a URL like http://localhost:1880/flexdash?theme=dark
to get the dark theme by default and the browser history (or a bookmark) remembers it for me.
Fixing this opens up the whole session, authentication, user, preferences, etc can of worms... FlexDash supports some simple auth but the Node-RED integration doesn't right now. It's not something I can focus on at the moment, but I can provide pointers for how to attack it (I have auth for FD in another project).