The themeing bonuses that THEY recieve (on top of the original themeing bonus you get from mix and matching certain great works that meet certain criteria that si defined by buildings with more than one slot) is only applied in the Capital.
So.. for example
Take the Lourve, you can get a Theme bonus of +4 to your culture and tourism if you get 2 different Paintings that are completely unique (different eras, different civilizations), and 2 different Artefacts that are also completely unique, you get a +4 themeing bonus. If you built the Lourve in Paris (or the capital), then you would get a themeing bonus of +8. But if you built it outside of your capital, say in Lyons, you would not get the themeing bonus of +8 and would only remain +4.. Adopting ALL policies in the Aestethics screen, would also grant you an additional 100% increase, meaning in Paris, you would get +16 (as well as the achievement that requires you to get this bonus), but would only get +8 in other cities.