Theatre of Horrors is not returning cards from your exile to your hand
On turn 5, and then again on turn 7, I matched an activated gem and Theatre of Horrors dealt 2 damage to my opponent’s PW, but it did not move a card from my exile into my hand at the end of the turn.
(Playing with Chandra, Torch of Defiance vs the Consulate Dreadnought level of Revolt Against the Consulate event)