What if you're running an adventure path or the like? Wouldn't that have the same implications?
Yep. Have you not noticed that, while APs have many fans, they also have many detractors?
But isn't this also the case for something like setting? If you're not into Dark Sun, then playing in a Dark Sun campaign is probably going to suck.
Yep.
In writing
A Brief History of Time, Stephen Hawking noted that every equation you put in an essay or book loses you approximately half your audience. A similar mechanism is at work here - The more specific you, as a GM, make your offering, the fewer folks are going to want to play. Every element that the GM stipulates beforehand (like setting, plot direction, themes, and so on) will narrow the offering so that fewer players will want to play.
So, if you talk about stacking themes on top of the things the GM already tends to set, you're talking about a campaign fewer people will want to play, as compared to a campaign that is otherwise the same, but without the GM picking the theme explicitly. Not to say that this will kill your game, but it is something to note. It is one more thing you, as GM, are taking into your control. You ought to ask yourself if the payoff is sufficient to merit it.
If I want to do a save the world style plot I should pick a certain Genre?
Well, that particular one is too broad. Most sci-fi/fantasy genres include that as an option. Superheroes, swashbucklers, members of the Space Patrol, vampires with souls, and knights in armor all "save the world" now and again.
There are other plot types that don't fit into certain genres as well. Murder Mystery plots, for example, are notoriously difficult to do in the high-magic fantasy genre.
(I guess I was wrong to assume most people understood the basic concepts of literary themes?)
I think most people ignore what they learned in high school English class shortly after graduation. Gamers may read more than average folks, and may even be more prone to talking literary-analysis than most, but I don't think the desire to do so is ubiquitous enough to depend on.
And, even if your people understand literary themes, you'll likely have to discuss with them what you mean by including those themes in game play. What do you mean when you say that you're going to include the theme of "what does it mean to be human?" in your game? In a practical sense, how will this game look different than games that don't have that theme?
If you say you're playing Star Trek, the players who know the show will know how that theme enters pretty clearly. It isn't clear how that theme would enter into your noir-gumshoe game.
So to break it down further- what about on a per adventure basis?
Do any of you use or think about theme while writing adventures?
These days, I consider theme largely as it pertains to characters, not as it pertains to adventures. In my Deadlands game, one of the characters has in his history that he broke under pressure when faced with a horrible monster, and that haunts him. So, I make a habit of choosing stuff that'll yank his chain on occasion.
Mind you, most (not all, but most) of the themes for the characters in my game are tied to plot elements in their backgrounds - so, by referencing the background, I cannot help but reference the theme.
Getting most of them to make genre-appropriate PCs was like pulling teeth. I'm not sure what I need to get a theme across*. Most players just seem to create the PCs they want to play, and ignore all the genre advice. 
