Differences Plugins and Apps vs Themes
Technically a theme is also a plugin / app but it will be visible in the theme manger once its activated and can be assigned to a specific sales channel, while plugins / apps are activated globally. To distinguish a theme from a "regular" plugin / app you need to implement the Interface
Shopware\Storefront\Framework\ThemeInterface. A theme can inherit also from other themes, overwrite the default configuration (colors, fonts, media) and add new configuration options.
You do not need to write any PHP code in a theme. If you need PHP code you should choose a plugin instead. Another important distinction to themes is this: Themes are specific for a sales channel and have to be assigned to them to take effect, the other way around plugins and apps have a global effect on the Shopware installation.
Now that you have learned the differences between themes, plugins and apps, you can create your first theme.