Can Plugin/Theme Guard find and remove malwares in themes?
First, you'll need to understand a little bit more about what Shield does with plugins and themes:
It does not have a malware scanner. It's not designed to do that.
The Malware scanner is completely separate. You can read more about the Malware scanner here.
If you enable the Plugins and Themes Guard, and you have malware already present in your theme, this will not be fixed by Shield. Shield is designed to detect any changes or code injections and alert you to it.
To fix this problem, the only way ever is to completely delete and reinstall the theme from original sources.
Then, if malware ever gets injected into your theme, no matter what it is or looks like, you'll be alerted to it.