Sudo: /usr/sbin/plymouth-set-default-theme: command not found

Running a script that needs that(or doing plymouth-set-default-theme in the terminal says 'command not found'.
How can I install that??

That command is used in Debian, but not used in Ubuntu (Or Ubuntu Derivatives.)
The default Plymouth theme is set using sudo update-alternatives --config default.plymouth which is a CLI interface requiring interaction and a choice to be made of which theme.

here I set dotlock, the theme I dowloaded. Now, after a reboot, I have the zorin theme

Did you update initramfs after you changed the theme?

sudo update-alternatives --config default.plymouth

Choose the number that corresponds to the theme you want to use.
When finished, run

sudo update-initramfs -u

now I see a text screen saying ZORIN 16.

I'm not sure if this means it isn't working... or if you selected "Zorin-Text" instead of "Zorin-Logo"...

No, the loading screen when plymouth theme is missing

Can you take a picture of this with your cell phone and post it please?