U is ntsc (USA), E is PAL (EURO), J is ntsc (JAP), K is ntsc (Korean).
1- I suggest you have priiloader and a nand backup before doing this.
2- fstoolbox would probably work fine to install a theme, but I don't think that is the common method. But as you found, fstoolbox will only replace files that are already on the nand, not write new ones. So you would need to have the propper system menu installed for it to work. As I said, this is not the normal method. Usually you use mymenufy, or install a theme via wad. If you install via wad ensure you reinstall priiloader before exiting to the system menu or restarting the wii.