The moral would be to get smart, not to obey adults. It is often showed in Pinocchio that adults are a thing to be aware of, a real and frequently met danger.

It's also shown how Pinocchio gets gradually smarter and start to think for himself, from believing the Fox and the Cat (the thing that led to his hanging) to learning to lie to the judge and tell him what he wants to hear.

Collodi wrote a cautionary tale for the poor masses of Italy and the message was to emancipate trough studying and rational thinking, or suffer the same fate Pinocchio suffered, that is to be dragged around by anyone with a little power, or to be robbed and swindled, reduced to an indentured servant.