I use its *OnQuit to kill that program when I change the particular setting in this theme. This also works. - I'm uncertain what you mean here.

Systemevents executes *OnStart when the module is loaded.
Systemevents executes *OnQuit when the module is unloaded.

Module's are loaded when LiteStep starts, and in the 2nd half of a LiteStep recycle.
Module's are unloaded when LiteStep exits and in the 1st half of a LiteStep recycle.

Themes are a set of configuration files, these configuration files are loaded and unloaded in the same situation as Modules. (ie. if you change themes, the original theme is unloaded in the 1st half of a recycle, and the new theme is loaded in the 2nd half of a recycle)

Assuming that you have Systemevents specified in your OTS2 personal configuration files:

When starting LiteStep (ie at logon) *OnStart will be executed.
When quiting LiteStep (ie at logoff) *OnQuit will be executed.
When you recycle/change themes, *OnQuit will be called first, then *OnStart will be called immediately afterwards.

If you are loading Systemevents from particular themes then you can figure out the correct behavior from the above information.