There isn't a Return of the Shakturi theme, as far as I am aware, unless there's a mod that adds one. The Shadows, Distant Worlds Original, Legends, and Return of the Shakturi buttons on the first game creation menu are just buttons for creating a custom game in the Default theme with some of the options preset. Unmodded Distant Worlds: Universe has three themes - Default, Distant Worlds Original, and Ancient Galaxy - and to the best of my knowledge two - the Default and Distant Worlds Original themes - differ only cosmetically from one another while the third - the Ancient Galaxy theme - is entirely additive, putting a few extras into the tech tree (the aforementioned Xaractor Virus as well as some wonders and researchable superweapon technologies, maybe some other things) and offering a premade scenario. I am not aware of any technical problems caused by playing with any combination of the Shadows, Original, Legends, or Return of the Shakturi storylines, regardless of whether you use the Default, Distant Worlds Original, or Ancient Galaxy themes.
As to the question of playing a game with multiple themes enabled, I do not believe that you can do so directly; the game can only have one theme loaded at a time. That said, if you know what you're doing, you can combine multiple themes into one; I believe there are directions for doing so, or at least for creating a theme, somewhere in the Modding subforum or maybe in the DW:Universe manual. The difficulty of doing so will obviously be dependent upon how compatible the themes that you're trying to combine are.