I finally got it working. I'll put it here in case someone faces the same issue.
First, I followed @Sysadmin suggestion mentioned in the comments above.
Run the following two commands in the terminal before trying to change colors or theme. (you can add this to your .bashrc or profile so that you don't have to do it everytime your system reboots).
Probably the only one correct way is to do this way:
sudo gsettings set io.elementary.terminal.settings background 'rgb(46, 46, 46,0.95)'
The last position 0.95 is about transparency. Less value means more transparent background.
Settings work only after the restart of the system, so each time you need to restart if you are changing values.