Yes, you are correct that once set, the colors will then honor the theme color assigned to that data color in the report theme that is used. Also, as you mentioned, the Graph Builder preview only shows the graphs using assigned application theme, not allowing you to preview with the custom report theme colors. That is a known limitation. Looking at what is available in Theme Designer it does also look like there is the limitation of only being able to assign the 8 data colors and 3 kpi colors.
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