What is happening to you is totally expected. You have to install and activate the plugin first — everyone does.
When you install a plugin, it’s like: “yo I haz the features!”
And if the theme hasn’t declared support for said features, it’s like: “nah, I don’t support that.”
But if it has declared support, it’s like: “yay, I can do the features.”
When a theme says it has support for some features, it’s just saying that it is designed to work with whatever those features are.
I would recommend reading up on add_theme_support:
https://developer.wordpress.org/reference/functions/add_theme_support/