such a wonderful film but

Can control his life?

After he left Master, he headed straight to the pub, got wasted and seduced a woman. He couldn't control his life, just like Master had said:

If you figure a way to live without serving a master, any master, then let the rest of us know, will you? For you'd be the first person in the history of the world.

What I think Master was implying in that final encounter was that The Cause/Dianetics was made up, he didn't have the answers and although he kind of hoped that Fredd could stay, he knew he had to go as he could not be cured. Furthermore, Master himself was losing his way. He probably had been like Fredd, someone without a direction and with lots of problems, before he founded The Cause. But while he was temporarily cured by the new direction in his life, he was sliding back into alcoholism, melancholy and depression as years went by.

Also, Master also had to serve some other master. On the other hand, his wife was his master, having considerable power in The Cause. On the other hand, maybe Fredd was his master too. Originally, he probably was trying to exploit Fredd because curing such a miserable person would prove that Dianetics work. But then he came to identify with Fredd, whose background could have been similar to his. He genuinely liked him and longed for him after he moved to England.

So, to summarize everything, I though that the message, if you could say so, of this film was very pessimistic. We try to live an authentic, free life, be our own masters. In reality, our existence is always unauthentic in one way or other: Either we literally serve other masters, religious leaders, politicians, our employers and abstract things such as money, ideologies, markets, society, or then we could be free in principle, but without any real control on our own lives because we lack all the powers one can gain by serving a master.