It's not possible to create a Font Theme in PowerPoint 2016 for Mac, it's only possible on the Windows version, for some reason. However, it's simple enough to create a Font Theme of your own. Copy and paste the following into a text editor (I recommend Visual Studio Code, but any plain-text capable text editor like TextEdit will do):
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<a:fontScheme xmlns:a="http://schemas.openxmlformats.org/drawingml/2006/main" name="Test">
<a:majorFont>
<a:latin typeface="Helvetica Neue Light"/>
<a:ea typeface=""/>
<a:cs typeface=""/>
</a:majorFont>
<a:minorFont>
<a:latin typeface="Helvetica Neue"/>
<a:ea typeface=""/>
<a:cs typeface=""/>
</a:minorFont>
</a:fontScheme>
Then save the file at the following location:
~/Library/Group Containers/UBF8T346G9.Office/User Content/Themes/Theme Fonts/Helvetica Neue.xml
You can browse to this location in Finder by holding ⌥ while clicking the "Go" menu item to go to the "Library".
Once the file is in place, restart PowerPoint, open the presentation, click View → Master → Slide Master, then click the "Fonts" dropdown and the "Helvetica Neue" Font Theme should be available for selection. Clicking it should import the Font Theme to your presentation and if you save the presentation as a template, it should be there for all users of the template.