When to use Include in EF? Not needed in projection?

You didn't need Include because you were working inside EF context. When you reference Theme inside the anonymous object you are creating, that's not using lazy loading, that's telling EF to do a join.

If you return a list of books and you don't include the themes, then when you try to get the theme you'll notice that it's null. If the EF connection is open and you have lazy loading, it will go to the DB and grab it for you. But, if the connection is not opened, then you have to get it explicitely.

On the other hand, if you use Include, you get the data right away. Under the hood it's gonna do a JOIN to the necessary table and get the data right there.

You can check the SQL query that EF is generating for you and that's gonna make things clearer for you. You'll see only one SQL query.

In search for an official answer to your question from Microsoft's side, I found this quote from Diego Vega (part of the Entity Framework and .NET team) made at the aspnet/Announcements github repository:

A very common issue we see when looking at user LINQ queries is the use of Include() where it is unnecessary and cannot be honored. The typical pattern usually looks something like this:

var pids = context.Orders
    .Include(o => o.Product)
    .Where(o => o.Product.Name == "Baked Beans")
    .Select(o =>o.ProductId)
    .ToList();

One might assume that the Include operation here is required because of the reference to the Product navigation property in the Where and Select operations. However, in EF Core, these two things are orthogonal: Include controls which navigation properties are loaded in entities returned in the final results, and our LINQ translator can directly translate expressions involving navigation properties.