docs(FAQ): add theming section (#5383)

Author: Lukas742

docs/knowledge-base/FAQ.mdx

@@ -73,4 +73,14 @@ UI5 Web Components for React comes with a [publicly available](https://github.co
 
 To reuse these styles, you can either use the CSS variable, or use our [Theming Parameters](https://sap.github.io/ui5-webcomponents-react/?path=/docs/knowledge-base-public-utils--docs#theming-parameters).
 
+## Why is changing the theme not working?
+
+You have to ensure to import the `Assets` with the different themes, otherwise only the default theme will be used.
+
+```ts
+import '@ui5/webcomponents-react/dist/Assets';
+```
+
+Further information about theming can be found in our and the UI5 Web Components [Theming documentation](https://sap.github.io/ui5-webcomponents-react/?path=/docs/getting-started--docs#theming).
+
 <Footer />