We know that incorrect server permissions is one cause of WordPress spitting out that “are you sure” error message when it is trying to upload a theme to a server. That error message has nothing to do with the Vellum theme.
This article describes how permissions should be set for WordPress → http://codex.wordpress.org/Changing_File_Permissions
You should speak to your web hosts about this, it may be that they will need to reconfigure your server.
I have also been told that uploading the incorrect theme zip file has caused WordPress to display this “are you sure” error message, although I’ve not experienced this myself.
Someone mentioned to me that very low PHP resource values that some hosts set by default have been known to cause WordPress to generate a number of confusing error messages when trying to upload themes or plugins. So something you could try is to increase those values in your ‘php.ini’ file. Try something like this…
max_execution_time = 120
max_input_time = 120
memory_limit = 64M
post_max_size = 32M
upload_max_filesize = 32M
Unfortunately some web hosts don’t allow you increase resource values via your ‘php.ini’ file so it might be an idea to ask them about this before you try it.