I see that your using Sitefinity 4.4. Have you installed the Thunder module (In Visual Studio -> Terlerik -> Sitefinity Thunder - > Install Sitefinity Thunder Module)?
Please, check the documentation here:
If the module is installed check that your site is running and you can login (you have to be administrator). Then check the connection settings in Visual Studio, it should be working fine.
About the reference - there is no need to add reference to the themes project. Currently the Themes project is used as a "storage" so you can have the themes in TFS for example, separate from your web project. You just need to upload the theme. You can also use the themes without the Themes project: use "Add new item" in your web project - this will create the basic theme and will register it. This way you can work "locally", no need to upload themes via the Sitefinity Explorer.
All the best,
the Telerik team
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