Blender 2.8 customised themes I have tried on two different computers, also downloaded different builds, to make my own theme. I save the current state, then exit and choose the blender theme, then try and load mine, but nothing has been save.
I've tried loading my xml file, also nothing has been saved.

Has this feature been deactivated, does anyone have the same problem?
That would be an area that could be improved.

If you change theme settings, and then press the + button next to the theme list you can give your new theme a name. By using an existing custom theme name, you can overwrite your existing theme settings. If you use an existing name of a theme that is included with blender then you get two themes with the same name.

Custom themes are saved into scripts/presets/interface_theme along with your startup and userpref files.

You could make a suggestion at Right Click Select to see if someone wants to work on making this more intuitive.