Every story needs a point, and every story has a theme. But it doesn't need a moral (or anti-moral).
Messages usually work themselves into a story whether you want it to or not, though, and you can't really get away from it. If your character struggles against something, like most characters should, and if he's dynamic, you have meaning coming your way. What the main character does and says is going to impress something on your reader, as well as your tone. It's up to your reader to decide what the message is, or if the story has one at all, and since it's never said outright the message will be different for everyone.