It looks to me like the Color Themes panel is not color managed—that's always been a problem with Kuler and the current web version.
You can really see it with the 100% cyan and magenta patches in this example, where the document and Swatches panel respond to changing CMYK profile assignments, but the Color Theme panel does not. Obviously the 100% cyan patch in the Theme panel is not accurate for any printing condition and looks more like out-of-gamut 0|255|255 RGB:
A custom CMYK profile assignment
Japan Color Coated
I think the work around is to select your colors in the Color Theme panel as Lab, move the swatches into your Swatches panel, and convert them to CMYK from the swatches panel where the conversion to CMYK will be color managed.
Here you can see when I pick colors as Lab there's no shift when I send them to the Swatches panel:
Thank you for answering me so thoroughly. I also noticed that when I select the color I created in color theme (cmyk) with eyedropper (even though it looks out of whack) it fills correctly in the indesign document and the swatch in the swatches panel renders correctly. But I agree, I need something that is visually correct to work with if I use color themes and lab would be the way to go and then I can convert to cmyk.
Better still would be for Adobe to correct this for we olde printers... and I say that in an affectionate way... long live Print!
You could file a feature request. I have a feeling it's because the panel originated as a link to Kuler and it's still basically a reflection of the web app where the color spaces are not color managed. Took me awhile to figure out that I had to go to the web app to delete my saved themes.