Here's a screenshot…
Indeed they do. The theme was developed hand-in-hand w/ the app template. Is it normal/possible for a theme to provide and override with its own index.haml file? Not sure if that's bad form or not.
You can't provide content in a theme, no. That's partly why the default content/pages/index.haml (it's in the templates folder in nesta) uses helpers to list the articles; the theme could redefine those helpers and control the markup used to render a list of articles that way.
Putting content in themes would break when people use Nesta for sites that aren't blogs (such as http://theagileplanner.com).