There's a spectrum between "just keep trying tons of crap and see what works" and "do this simple, well-understood calculation to see exactly what will work." Is it not obvious why it's nicer to be on the latter end of the spectrum than the former?
Also, I'll mention that you're being too pessimistic about what theory can accomplish. The learning problem is much more constrained than P = NP.
The use, for example, of a training set of N examples, drawn iid, and evaluation on samples drawn from the same distribution imposes a lot of structure. I don't know if you're familiar with VC theory, but it's an example of the kind of "surprising" guarantees that can be derived in this setting. Other general examples are weak learning, the bias/variance tradeoff, and (in SVMs) the notion of large margin classifiers.
An applicable "theory" of design is what separates engineering from just mucking around.
Sounds more like alchemy than experimental physics to me.
The way I understand experimental physics, its purpose is either (a) to make observations on which new theories can be built or (b) to experimentally verify, or falsify, existing theories.
I don't think it's quite like throwing stuff at a wall and looking to see what sticks.
Well, the reason why we have computers today in the first place is because Turing (and Church, btw) solved a long-standing problem in mathematical logic. That was a theoretical problem -Gödel's incompleteness theorem- and his solution was also purely theoretical: Turing machines (Church's solution was the lambda calculus; btw, both solutions basically led to a new problem, the halting problem. I digress).
Without these advances in theory, do you think we could have ever invented computers? If you do, you shouldn't. Instead, you should try to imagine trying to invent a computer by enumerating math theorems without a computer.
Today of course, we have computers. However, we also still have problems that cannot be solved by brute-force enumeration of solutions- just like pre-computer mathematicians had problems they couldn't solve just by enumerating solutions without a computer. For this type of problem, we have to use our brains and come up with theoretical solutions in order to make progress.
It may be out of our league, or we may just need a genius to help figure it out.
Calculus and Newtonian Mechanics and Relativity were probably out of our league before they weren't.