When your templates and themes are inside App_Data we allow you to dynamically control these files from Sitefinity's UI. In one of the next release we are going to make synchronization between markerplace and Sitefinity which will allow you to pick up themes directly from there and the only way to control this is using App_Data and its subfolders.
If you want to redistribute a theme you should better use App_Data folder. If you just work locally there is no restriction to use App_Themes. Furthermore App_Master folder was introduced by us in the older versions of Sitefinity - 3.x which was a global storage for templates. In 4.0 you can specify the path to your templates from the UI and there is no point for using App_Master.
In 4.0 allow you to create a template directly from the UI and actually you do need a physical master file in your project.
Let me know if there are any further questions.
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