I have tried to find the "Use This" button after I've previewed it using the "Test It" button... but cannot find that "Use This" button anywhere. I see in the example it should be to the right of the "Test It" button but it is not appearing for me.
Chances are, you're looking at the pre-made color schemes page on the DKPSystem.com site, which doesn't allow you to reconfigure the color schemes.
Instead, on your site, go to
Admin > Pre-made color schemes.
If the "Use It" button still doesn't show up for you, then you're missing some security.