It's not a matter of whether the theory "works"; it's a matter of whether one is asking the right questions. Convex optimization studies how quickly an optimizer can reach the optimum. In the non-convex case, there are many basins containing their own local minima. The more sensible questions there are "which basin is it likely to go into?" and "how do I steer it to go where I want?". Global convergence rates are largely irrelevant by comparison.