You should only use the Lightning theme if you intend including your page as a lightning component.
Did this error occur with both themes?
Yes, both.
We will still wrap it in a VF for now.
Non lightning theme will still work when we switch to Lightning experience, correct?
In principle yes but you need to be aware of some of them such as - “The Silk icon set is only available when using the Skuid Classic theme, or when using themes that are based on the Classic theme. Silk icons are not available in the Skuid Lightning Design theme.” Have a look at this document here: https://docs.skuid.com/latest/en/skuid/themes/
