The CBOX theme is not necessary for use with CBOX. It’s available as an option for those that want something to use out of the box.
As for why the CBOX theme might not be working for you, there may be a javascript conflict that is preventing the options links from rendering correctly. To see what the problem may be, before loading the CBOX Theme Options page, open your browser’s developer console. Then load the page and see if any errors pop up in the console. If there are any errors, please post a screenshot or a copy of the log.