Theory is what people put together after some musician shows them how to do it. Bach created a theory and broke every rule he made. Charlie Parker created a whole different theory and in the case of thesee musical geniuses, they did it first and someone made a theory out of it.

Theory in my opinion can be useful if it doesn't get in the way of musicality. I don't think we "think" music, I believe we "play" it.
If theory opens the ears and helps the student to take in a wider view of music, than that's good. If it closes off creativity and enslaves a mind toward pedanticism, than who needs it?

I don't believe there's a "should" here. Theory can help. It can also be a hindrance. (A little knowledge is a dangerous thing.)

Music first.....theory second.

Frank