How to customize the theme?

If you go to Design -> Customize, you'll be able to change the style for most of the elements (header, footer, headings, body text, backgrounds...)

How to remove the side margins of the Page Header and Page Footer areas?

Edit the Area Design and choose the "no-side-margins" custom class.

How to change the style of the Image Slider captions?

Click on the Slider block, choose "Design & Custom Templates" and select the "boxed-captions" custom class.