Message of the movie = have no regrets
I believe that the message of the movie is that people should not have regrets. The message is evinced by 3 main characters:
1). Ray Kinsella has a lot of regret about the bad relationship that he had with his father. For example, he mentions that he quit baseball to rebel against his father ("My dad couldn't make it as a ballplayer, so he put his dreams on me. By the time I was ten, playing baseball was like eating vegetables"); he mentions the fallout after he told his dad, "I can't respect a man whose hero was a criminal"; and he said his dad died before they could make amends ("the son of a bitch died before I could say sorry"). At the end, however, Ray Kinsella sees his young father, a bright young man with his whole life ahead of him. At this point, Ray realizes that, despite their falling out, his father still lived a good life, even if they had a falling out. As his father lived a good life. Hence, Ray can let go of what happened.
2). Archibald Moonlight Graham has regrets about how he never got so close to playing in the majors without making it. At the end, however, he realizes that the life he lived as a doctor was worth it: he really helped a lot of people. Thus, he is able to leave happily at the end, even after he gave up his chance to play baseball to save Ray's daughter.
3). Terrence Mann, at first, is a reclusive and angry. He has regrets about his literary career in which he wrote controversial books, and he has regrets that he didn't get to play for the Dodgers at Ebbets Field. By the end, however, Terrence Mann becomes much friendlier, particularly with Ray; and his words ("people will come to Iowa see baseball") convince Ray to keep the farm, which shows that Terrence Mann still has the ability to persuade and inspire people. For that reason, he can feel content with his life.
For those reasons, I believe the message of the movie is that people should have no regrets.