Theater View configuration, like all View configuration in MC, is pulled from the Server when clients connect. Changes can be made on the Client side, but they do not persist when you reconnect the client.
To modify Views, including Theater View, you must do it from the Server-side. This includes what View is active, their order, and the "view style" (thumbnails, list, layout view, etc) of each individual view in Theater View.
While it can be a bit confusing at first, in practice, it is often useful. You can set a reasonable set of default "settings" for your clients by setting the Server up "just so" and then they'll all get it and start from the same place (and changes you might make on the fly, or where you left off browsing last night, won't be remembered and confuse the next person).
You can change tag data for your files and modify playlists and smart lists from the client side, but you cannot modify the Views permanently.