const
WM_THEMECHANGED = $031A;

type
TForm1 = class(TForm)
{...}
private
public
procedure WMTHEMECHANGED(var Msg: TMessage); message WM_THEMECHANGED;
end;

{...}

implementation

{...}

procedure TForm1.WMTHEMECHANGED(var Msg: TMessage);
begin
Label1.Caption := 'Theme changed';
Msg.Result := 0;
end;