This article from Microsoft explains how to change your Office 365 theme, but doesn't discuss what applications the theme is actually used in.
I customised my theme in a demo site and had a look through the apps.
The following displayed my new custom theme: SharePoint Online, Outlook Online, Admin Centre, OneDrive for Business, Yammer, Planner, Video, Security & Compliance.
Note that this won't be relevant for long as Microsoft are likely planning to make the navigation more global. The app launcher isn't available in all of the applications, but there is a number where it is but doesn't pick up the theme. Hopefully this will change and make for a more consistent user experience. The theme doesn't appear to update in Outlook either which is a real shame.