Characters play a crucial role in a story by helping to reveal the theme, creating the action, and explaining the plot. While they can also contribute to revealing the setting, their primary functions are more aligned with driving the story forward and conveying its deeper meanings. So, the best response would be:
They help reveal the theme.
They create the action.
They explain the plot.
All of these options highlight important aspects of what characters do in a story, but they encompass different dimensions of character function.