Because if a theme wants to style the chat panel, it also has to include the Footer stuff, including the .js files, as they are all located in chrome://messages/skin/. Footer.html and the js inside of Footer.html is not allowed in chrome://messages/skins/ (because of security reasons).
So the concerns are theoretical and not because you've actually seen something not working? The files of a messagetheme aren't shown directly. They're html snippets for a message/content message/the conversations 'footer'/... They are loaded from their (chrome-)URIs as text, parsed and inserted into a browser to show your conversation.
You need to log in before you can comment on or make changes to this bug.