There's a lot going on in Joseph Conrad's Heart of Darkness, and much of what the author has to say includes some kind of moral judgment. However, I believe that the first section of Marlow's tale, like much of the rest of it, primarily addresses morality by displaying the corruption of colonialist enterprises. More specifically, Conrad emphasizes the fact that colonialism is not actually a rational and orderly process aimed at bringing civilization to savage peoples, but is rather an exercise in pointless insanity.
The first instance that displays the insanity behind colonialism occurs early on. Marlow says that, en route to his port of call, his transport vessel comes across a man of war firing into the thick coastal jungle. Apparently, this exercise is more or less pointless, and Marlow notes that "there she was, incomprehensible, firing into a continent" (30). Later on, when Marlow gets to the first station on his trip, he observes the apparently pointless attempt to destroy the face of a cliff. "The cliff was not in the way or anything," Marlow says, "but this objectless blasting was all the work going on" (34).
In short, one of the main points of this first section is Marlow's attempt to reveal the pointless insanity inherent in colonialist enterprises. It's apparent that the colonial powers are not actually making "progress" in the jungles of Africa, but are rather blundering around, killing and destroying and enslaving. They may do so in the name of civilization, progress, and business, but Marlow shows that colonialism advances none of these things, and is actually rather ineffectual. Thus, the primary moral of this first section is its condemnation of the insane meaninglessness of colonialism, and it's hardly surprising that Marlow comes to believe the Belgian Congo is now governed by "a flabby, pretending, weak-eyed devil of a rapacious and pitiless folly" (36).