Theme file - Add shortcode from plugin

Hi,
Many plugins say you can ad their shortcode to "theme"
"To display your slideshow, add the following shortcode to your page. If adding the slideshow to your theme files, additionally include the surrounding PHP code."

On one page i display all of my posts and tried two different plugins,
Search & Filter and seems like Content Views also have this function.

So example:
<?php echo do_shortcode('[metaslider id="XXX"]'); ?>

Why do you want it to Theme?
How and where do i do it?

Many thanks,
Patrik