When you change to a new theme the Plug in Speed theme code needs to be installed in your new theme.
First, change to your new theme. Then open up the Plug in Speed app. Wait until the dashboard has loaded an you'll see a prompt to install the theme code. Follow the directions from there.
You only need to do this if you change to a completely new theme, not when you make a change to your existing theme.
As always, email email@example.com with any questions.