The theme you set applies to applications. It does not apply to Gnome shell. That is themed by a separate Gnome Shell theme.
The easiest way to have a dark appearance of the shell is to revert to the default look of Gnome Shell. In the utility "Extensions", disable the "User themes" extension. That will disable any custom theme and revert to the default Gnome shell theme, which you will likely find suited for use with the Ubuntu Yaru dark theme for your applications.
One can also keep "User themes" enabled, and then switch to a dark Gnome Shell theme. For that, you need Gnome Tweaks, which is not installed by default. You can change the Gnome Shell theme next to "Shell" on the Appearance tab. Additional Gnome Shell themes can be found and downloaded on Gnome Look. b.t.w., also in Gnome Tweaks, extensions can be enabled or disabled.
Indeed, it would be much better if the setting for a dark theme automatically adapted the Shell Theme as well. That will hopefully happen in a future version of Ubuntu.