Scrum teams take user stories into sprints.
For many teams that is the end of the conversation. They do not need anything else to describe the work they are doing and the requirements they plan to do in the future.
For other teams, particularly those with a long product backlog, it may be beneficial to use other terms for requirements. Terms like 'epic' and 'theme'.
Utilising these terms help the teams to maintain and organise their backlog. There are lots of different ways this can be done and I recommend teams experiment until they find what works best for them.
Remember that epics and themes are a means to an end. They are just a stepping stone on the way to the user stories that the team will actually work on. When a team puts too much emphasis on epics and themes it may indicate that their focus has drifted away from the near-term. It is a danger sign that perhaps the team is thinking in a waterfall fashion.