I've seen that the template changer don't allow for template edit and recompiling, and there seems not to be a preview option, so to create a template a see where changes are applied I guess I should try several times to see what happens in the frontend
Unless I'm missing something, but I can't find any documentation

There is no documentation. Simply change the colors under Theme. Click Compile Template. Then click Save. You can now select the template within CB > Configuration > User Profile. The Template Builder feature is just generating a template plugin for you. There is no Preview feature at this time, but should be doable in a future release.

Guys CB is really great on many aspects, but in future releases please consider a global rework of the frontend template logics for better compatibility with other templates and easier customizations

It will be redone in CB 3.x when we switch to Twig template files and overhaul the renderer behavior. That doesn't mean it's going to magically fit any Joomla template. We still will be using our own CSS. Automatically fitting Joomla templates is impossible unless both are using the same CSS framework and in the case of CB that's Bootstrap 4 and in the case of CB 3.x that will be Bootstrap 5 or Tailwind (undecided at this time). If using a Bootstrap 4 Joomla template all you need to do is turn off CBs Bootstrap in CB > Configuration > Integrations and it will automatically be styled by your Joomla template.