As you properly pointed out, Thunder allows you to directly create new themes and tupload them directly to the website, if you have specified that in your connection settings. However, this is not the only thing the connection is used for. Practically, all the functionalities in Sitefinity explorer are related to it. For example, when such connection is established, yuo can directly edit widget templates of the project. You can also choose the dynamic content, which will be used in a dynamic moudle selector. Thunder will use the connection to get this information from the project and will make it available for you through Visual Studio. I would recommend you to observe the Connect to Sitefinity and Manage Widget and Website Templates articles from this page. They will provide you will additional information about the connection with the project.
the Telerik team
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system and vote to affect the priority of the items