Theme and message can certainly differ, and like the above answer states, it is often based on what you're writing about. But remember that theme is simply the central or controlling idea of a story. Message is perhaps what the author really wants you to take away from their story. Two stories can have the same or very similar theme, but very different messages.
The answer to your question is that it completely depends upon what your essay is going to focus upon.
If you are writing about contrasting ideas with short stories of the Romantic period, the themes and message can be different. The commonality is simply based upon the works being pieces from a specific period.
If you are simply comparing and contrasting themes within works, the themes and messages can be similar or different depending on what type of paper you are writing.
If you are writing a persuasive/argumentative paper about a specific period, you would need all of the stories to be similar in theme and message given you are trying to persuade your audience about something.
If you are writing a an analytical essay, your themes and messages do not need to be the same. Your purpose in the essay is simply to break down the stories into parts, evaluate an idea, and explain the components to your audience.
If you are writing an expository essay then again, the focus of your essay is to explain your idea to your audience.
Basically, whether or not the themes and messages are similar simply depends on what you are trying to say.