Why do you say there is no theme? I would say there are at least some themes.
I would say that one of the major themes is the question of what it means to be civilized. You can say that Zaroff is civilized because of the way he talks and acts. He drinks good wines, knows operas, things like that. But at the same time he is killing people for fun.
You can say that Rainsford is civilized because he doesn't think that what Zaroff's doing is right, but then he kills Zaroff when he probably doesn't have to.
So that, right there, is one theme.
The act of revenge is another theme that is found in Richard Connell's short story, "The Most Dangerous Game." Although Rainsford is repulsed by General Zaroff's style of hunting and he considers himself a civilized man, he apparently takes pleasure in hunting down and killing Zaroff in the end. Violence and cruelty are also thematic subjects in the story. Rainsford has no qualms about hunting and killing virtually any animal, but he finds Zaroff's treatment of his human captives inhumane. The lives of the Cossacks have been spent in violent activities yet Zaroff poses as a civilized man with his fine furnishings and gourmet tastes.
I see how you could look at The Most Dangerous Game and believe there is so much focus on the development of the plot, complicating the story and developing the conflicts of man vs. man, even man vs. self, and man vs. nature. I agree that a theme that is present is the civility of mankind, or the lengths to which a man might go for his own pursuit of pleasure or sport, or even the question of what makes something sport. These are all obviously very related... which demonstrates your point that theme is indeed limited. The title in itself alludes to man as the most dangerous animal or game as well as the sport of hunting man. This connects to a theme which might once again questions the civility of man. Is it okay to hunt humans?
This piece is also a classic action story. You see these movies all the time and that one element they lack is theme. Sure there is lots of violence and you wonder who is going to get killed, but being just a story you don't question why human life is put at risk. It's not like those movies are trying to teach, they are there to entertain.
TMDG definitely has themes the explore the lengths humans go to in order to hurt each other, but the plot does indeed draw your attention away from that.
Im just saying there is no theme because the author uses plot manipulation in the story and i was just trying to get more insight into it.