What theoretical concepts to learn? It depends on what you want to play and what your goals are. For example, if you wanted to become a jazz pianist, or be play an accompaniment part by ear, then you would want to learn chord construction, chord progressions, creating tension and resolving it, and so on. If you wanted to improve your sight reading, then you would, in addition to practicing your scales, learn to recognize intervals on the staff. So it would be hard to say exactly what concepts and theories you need to learn, or in what order.
As for a list of all theoretical concepts to learn, I'm afraid the list would be far to long, so I'll just list down some of the more common ones.
- Chord Construction/Chord Formulae
- Scales (major, natural minor, harmonic minor, melodic minor)
- Chord Progressions
- Creating Tension and Resolve in a Chord Progression
- Voice Leading
As for practicing music theory, the important thing is to be able to apply the theory concept in your playing. It's better to know a little theory and be able to use it, then to know lots of theory and not be able to use any of that knowledge. For example, it is better to know a few interesting chord progressions that work than a lot of chords but not be able to use any of them. This means you'll probably have to spend time trying things out on the piano, but it's worth it. Just one more thing: there might be some differences in jazz theory and classical theory, such as different terms being use. Just so you know!