I keep thinking about the assertion, "And we may not advance any kind of theory." The kind of theory Wittgenstein appears to be criticizing here is instrumental in nature -- theory as a net that catches empirical claims, theory as a covering law, theory as a guess that then must be instantiated, and so on. But this is not theory in its etymological sense. Theoria, is rooted in the act of seeing. A theory is a substantive claim about the nature and organization of reality. In this sense, we cannot help but to advance a theory. Wittgenstein certainly does. Reality is linguistic or conventional. It is organized in the form of language-games. What Wittgenstein is doing in the Philosophical Investigations is offering a travelogue of language-games he has visited.
Christopher Robinson & Joseph Duemer read Wittgenstein's Philosophical Investigations