This might not be the first theme that jumps out at you, but it's definitely a major thread running through "The Highwayman." First there's the courage of the highwayman, who has to be brave to do his job. Whether or not that's the right kind of bravery is another question. Then there's Bess and her very brave (and maybe foolish?) sacrifice, as she tries to protect her lover. On top of that we get the British soldiers, who show us what the opposite of bravery looks like. It seems to us that this poem raises a lot of questions about the definition and the usefulness of bravery – questions that it intentionally doesn't answer.
One of the purposes of this poem is to force us to ask questions about the definition of courage. It purposefully creates ambiguous situations in which both the reasons for bravery and the effects it has are different from what we might expect.
This poem reverses expected gender roles by making Bess the most fearless character of all.