In Ubuntu 14.04, I was able to change my Plymouth Theme simply by going to
/lib/plymouth/themes and copy my theme in there.
Then, by simply typing
sudo update-alternatives --config default.plymouth (choosing the accordingly number of my theme) and
sudo update-initramfs -u, I was able to change my Plymouth theme.
In Ubuntu 16.04 LTS, the folder
/lib/plymouth/themes does not even exist.
By seraching in Nautilus, I was able to find the folder
/usr/share/plymouth and place my theme under
themes. Then, by typing in the shell the commands above, I was, theorically, able to change my Plymouth theme to my pre-copied one.
The truth is that, after changing the Plymouth theme to my own and after several reboots, no Plymouth theme is showed at boot. Just a black screen appears and then
lightdm shows up and I login to my account...
burg as my default bootloader.