Hi,

here: https://invisionpower.com/features/customization I see a right sidebar that allows to easily customize theme live.

I don't get this on my installation.... I just have the editor inside the admin dashboard.

How to get the same thing as on the link from above ?

This function is only if you create a new theme's, then select Easy Mode.

After that you can switch to Manual Mode, Allows full editing of HTML and CSS code.
Once you have chosen Manual Mode, you cannot switch back to Easy Mode.