BuddyPress.org

I have read that I should follow the “BuddyPress” option under “Site Admin” menu, in order to change the member theme.

That is outdated information. If you are using BuddyPress 1.0 and have the bpmember folder installed in /wp-content/bp-themes/, then what I described is correct.

Log in to WPMU’s backend as site admin, then go to “BuddyPress > General Settings > Select theme to use for BuddyPress generated pages”. After selecting a member theme, make sure you hit the “Save Settings” button.