The performance at the Théâtre is a grotesque metaphor for life. And it's not a pretty one
The moral of the play: everyone dies. In fact, you should be glad that you die. Death is a gift. Also, you should die first. Not me. The hidden meaning is that the vampires are death, and your death would be a gift to them, because they get to drink your blood. In the play, Santiago prances around as death and makes a mockery of life. His performance is a way for him to flaunt his power without the humans finding out about it. Not only is his human audience clueless; they love the show.
Now, what does that say about humans? Maybe human society isn't that different? How much is human life like the performance at the Théâtre des Vampires? After all, the Théâtre wouldn't even exist if people didn't come to see the performances. Maybe we have more potential to be like these vampires than we'd like to admit.