IMO, if you're going to be thematic and drive an idea into a viewer's head, the theme needs to actually have real-world implications of some sort. Just having a theme isn't enough; it needs to mean something outside of its own context. It doesn't need to be some elaborate allegory or philosophical manifesto or something, either. Offering some hackneyed moral is better than a theme being inapplicable in the real world.
And I'm not talking about games where a theme is just implied vaguely and you have to interpret it for yourself; I mean ones where the theme plays a central role, such as a speech or conversation where it's addressed (oftentimes toward the end, just before or after a climax.) Usually, if you're forced to interpret the theme on your own, the theme is less specific and more widely applicable, and oftentimes works of this sort tend to be less aimed at being meaningful, anyway.
I'm not saying that a game can't be good if it doesn't have a meaningful, applicable theme, either--hell, I love every example I just mentioned. But it just comes across as pointless to me if a work goes to great lengths to express a theme that means nothing outside of a fictional world. If we're going to accept games as art, I see having meaningful, applicable themes as a crucial step. We need to move beyond praising video games for having themes and start praising them for having meaningful ones.
A theme should be something that sticks with you, that you can apply to the real world, that might cause you to think about something in a way you didn't before. A theme you can't apply outside of its original context does nothing.