In some cases, a theme Zip file can be missing some of the components that are specified by the theme definition file (.Theme extension). For example, the theme definition may specify that a file named NormalArrow.Cur contains the "normal" mouse pointer, but no such file exists in the Zip file.
It is safe to install a theme that is missing components. Windows will substitute default components for critical items that are missing (e.g., mouse pointers) and simply ignore non-critical components (e.g., sounds).
If a theme is missing a few components, it may still be effective, and worth installing. The system theme installer allows you to preview all of the components, and you can always decide then whether to complete or cancel installation.
If a theme is missing many components, it will probably not be very effective. You can still install and preview it safely, but the results probably won't be what you hoped.