Are you sure the theme was for your device and OS? For instance, if you are running 4.5 OS, you cannot use themes for 5.0. If a theme shows that it is downloaded but cannot be found, it usually means that it is not for the device/OS that you have.
Further on the matter of whether the theme was designed for your phone: if the theme is not designed for your device, of course it's not going to show up in the theme listing, but it will be still sitting in your phone's memory taking up space there. How do you find it? Look in Options > Applications. Hit the BlackBerry key and select Modules in the context menu. Scroll down until you find a group of modules that are prefixed with "com_plazmic_theme". When you find the non working theme in there, delete it. It's just not going to work on your device. If you paid good money for it, my condolences...
Posted from my CrackBerry at wapforums.crackberry.com