The underlying theme or message is actually an inherent part of every story whether the author intends it to or not.
Think about it. Say, you write a scene where the MC beats the bad guy by working with others. As an author, maybe you just find a team play to be cool—like a party in a video game—and nothing more than that, but you still send out a message through that scene alone without even realizing it.
As a reader, stuff like teamwork and friendship are pretty common, so you wouldn't think about it. But subconsciously, you're actually affirmed of your belief that, yes, working together does payoff. So it goes.
When it gets fun, though, is when the message is thought-provoking. Like what
@Tsuru said about
rough sex being the best sex or what
@georgelee5786 said that
sometimes tyranny and brutality are the fastest and best way to fix a nation. You might not agree with it, but it gets you thinking.