In order for Umbra to update system settings, including the system appearance and desktop wallpaper, we need to request system event permissions from macOS. You can do this from the initial first run screen when Umbra launches for the first time.
If you later revoke the permissions, or choose the wrong option in the system dialog initially, Umbra won't be able to request the permissions again.
To resolve this you can run the following 2 commands in your Terminal, which will reset Umbra. The next time you launch Umbra you'll be able to request permissions from the first run screen once again.
tccutil reset AppleEvents com.replay.Umbra
defaults delete com.replay.Umbra