Analysis

\declaretheorem[numbered=no, thmbox=M, name=Theorem]{theo} will eventually call (in \thmt@newtheoremiv)

\newboxtheorem[M]*{theo}{Theorem}

But thmbox's \newboxtheorem doesn't support this starred form, hence raises error.

Discussion

I would like to prevent the error and maybe add proper warning messages, but hesitate to make thmbox={<kv-list>} compatible with numbered=no and probably other options.

Users are suggested to use thmbox={L, headstyle=...} in thmtools, or drop thmtools and use tcolorbox. tcolorbox typesets env contents either in minipage or in \hbox, while normal theorem envs simply typeset env contents in a trivlist. That's the only difference as I can tell.

Misc - thmbox side
Although thmbox has options headstyle=<code using #1 and #2> documented, currently you have to manually double the hashes:

\documentclass{article}
\usepackage{thmbox}

\newboxtheorem[L, headstyle={\bfseries\boldmath####1 ####2}]{theo}{Theorem}
% works
\newboxtheorem[L, headstyle={\bfseries\boldmath#1 #2}]{cor}{Corollary}
% raises error
%     ! Illegal parameter number in definition of \thmbox@temp.

\begin{document}
\end{document}

A possible patch to thmbox:

\usepackage{regexpatch}

\makeatletter
% double the hashes in #1
\xpatchcmd\thmbox@newA
  {\def\thmbox@temp##1{#1}}
  {\edef\thmbox@temp##1{\unexpanded{#1}}}
  {}{\PatchFailed}

\xpatchcmd\thmbox@new
  {%
    \expandafter\def\csname#2\endcsname{%
      \setkeys{thmbox}{#1}%
      \@ifnextchar[{\thmbox@beginA{#3}{#4}}{%
        \thmbox@begin{#3}{#4}{}}}%
  }
  {%
    \expandafter\edef\csname#2\endcsname{%
      % expand #1 (\thmbox@temp) by one-step, then double the hashes
      \noexpand\setkeys{thmbox}{\unexpanded\expandafter{#1}}%
      \unexpanded{\@ifnextchar[{\thmbox@beginA{#3}{#4}}{%
        \thmbox@begin{#3}{#4}{}}}}%
  }
  {}{\PatchFailed}
\makeatother

Option clash: numbered=no and thmbox #25

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Option clash: `numbered=no` and `thmbox` #25