Sorry, unfortunately, at this time there is no built-in support for the use of VCL Themes with TAdvMainMenu. TAdvMainMenu has its own styling with the different stylers including the MS Office styles.
Antonio, I wrote my own routine, which is triggered upon a style change and sets the colors of the office stylers for the AdvMainMenu so that it matches the current style.
Unfortunately there is another long standing problem with TAdvMainMenu and VCL Styles: The keyboard navigation through the menu is broken and hotkeys don't work anymore (only the first one)