What is the sidebar you are talking about?
By default most of the interface is hosted in dom0. This includes wallpaper, xfce panels, and window manager (which means both window behaviour and window borders).
Generally, it works this way: dom0 runs window manager, but the contents of windows are taken from domUs. See docs for a better explanation:
You will need to keep this architecture in mind when installing themes and change installation procedure accordingly.
There are guides on how to do theming in qubes you can check to become more familiar with it:
Dark Theme in dom0
Improving systray icons for dark themes
Also, you may be interested in these:
Adding discreet XFCE borders to themes
Tiling XFCE windows with shortcut keys