Please follow the video CP-05 and listen carefully all my comments.
www.jms2win.com/tutorial#jms12x-CP-05
This is clearly explained.
I suppose that you have entered the following values
Deploy folder = {site_dir}
Themes folder = {site_dir}/templates.
If this is the case, you have to check if you have symbolic links inside the templates directory.
Becarefull that some hosting server "file manager" tools might not display the symbolic links.
Same problem with some FTP tools.
The only way to be sure is to use a terminal application like SSH.
First check your tool to be sure that it can display the symbolic links
Starting with JMS 1.2.7, there is also an option to directly copy the content of the themes folder and not create symbolic link as explained in the user manual.
To change the option, you can go in JMS templates and in "files and folders" tab, you can change the replication action on the "templates" directory.