The first message of the book seems to be (whether Flaubert intended it to be) that women of that century (or even now) could not be fully fulfilled by marriage or romantic love. Emma is the embodiment of a romantic and she gave her all to whatever or whomever she chose; to her religion, to her family, to her lovers. But none of them could give her what she imagined.

But even more so, Flaubert warns us of the superficiality and delusions of the bourgeoisie, perfectly encapsulated by Emma.
Emma could never be happy, because she does not live in reality. She prefers to live in illusions which she believes will to brought to her through romance, religion, and material possessions. Even when she reaches her desires she can never be fulfilled.