The theme option only changes Edge’s interface, not the websites you view in Edge. For example, you could use a dark Edge browser theme while using the standard light app mode for all your other apps.
This setting is completely independent from the system-wide app theme you can select in Windows 10’s Settings app. You can return here and switch Edge back to light mode whenever you want. Edge immediately switches to a dark theme, whether or not you’re using Windows 10’s dark app theme.