Microsoft has only just launched the first Insider builds of its upcoming Chromium-powered Edge browser. Many features are currently missing or unfinished, with dark theme support being one of them. If you're keen to use dark theme straightaway, there is a method to force it to enable by diving under the hood.
First up, open the Edge Insider build you're using (either Dev or Canary). Next, navigate to "edge://flags" in the address bar. This screen lets you tweak scores of internal Edge and Chromium settings; unless you know what an option does, it's advisable you refrain from changing it.
In the search bar at the top of the screen, type "edge-follow-os-theme." You should see a single result, labelled "Microsoft Edge theme." Use the dropdown menu to change its value to "Enabled."
A bar will appear at the bottom of the screen, prompting you to restart Edge to apply the changes. When the app reopens, you should now find Edge's window is clothed in a neat dark theme.
You will need to have Windows set to use dark app colours first, using Personalization > Colours in the Settings app. Unfortunately, there's currently no way to set Edge's theme independently of the system colour scheme, so you can't use Edge in dark mode with Windows' default light theme.
At the time of writing, dark theme only changes the browser chrome. It doesn't have any impact on Edge's built-in webpages, such as the Start page or Settings pages. Microsoft might choose to extend its coverage in the future – since it's currently disabled in the Insider builds, it can be assumed this feature is still undergoing active development.