Stop reading documentation for WordPress.ORG blogs. You have a WordPress.COM blog. All the themes you can use are on the dashboard Themes page. Which theme are you trying to change TO? Are you the admin of that blog? Which exact steps are you taking to change the theme, and at what point does the error message pop up?
Well, since the simple “change theme” didn’t work I started googling other options.
From the overview site “my blogs” I simply click the “change theme” button. Once I find the theme that I want (syntax) I click the activate button and then the blue button with “customize your site” labeled on it. And that’s when I get the “cheatin’ uh?” message.