I don't understand why the lavish parties show the immorality of the times. Fancy parties don't impy immorality. Can you please explain?
First, the parties that Gatsby throws are intended to eventually draw Daisy to Gatsby's house. This is why Gatsby throws the parties and perhaps this also explains why Gatsby seems to have to little interest in controlling the parties.
He does not care to hold a standard or rein in the wildness for the parties because he is not throwing parties for the sake of a good time. This notion in itself is slightly under-handed and immoral.
As for the party-goers themselves, they run amok at Gatsby's parties, disrespecting the host while drinking his liquor. This hypocrisy is not exactly novel, but it is certainly a sour thing to do. Many would say that the attitude of the party-goers is immoral because of the marked lack of restraint and respect characterizing it.
Another aspect of the "immorality" of the people at the parties was the how these people came by word of mouth to Gatsby's parties, and once there, were rude and disrespectful of his property; didn't seek out the host to give their thanks; didn't even know who Gatsby was. While the big parties served a purpose for Gatsby in his effort to attract Daisy's attention, it doesn't excuse the ungracious behavior of his guests.
I think that "immorality" is an acceptable word. The '20s were a time of flappers and jazz and new ways that would have been seen as immoral by more traditional people. Gatsby's parties have all of these things. You have women out with men they aren't married to, drinking and smoking. All of this would have seemed scandalous to many at the time.
The parties are also wasteful and pointless. Gatsby is basically throwing away his money on these extravagant things. To many people, waste in and of itself is immoral.
So I think you can argue that these parties are wasteful, hedonistic affairs that show that the people of the '20s were not serious, moral, sober people. It's sort of like they were the hippies being all wild as compared to the '50s generation who were serious and upstanding.
The elaborate, "fancy" parties in The Great Gatsby involve illegal alcohol for starters. Though alcohol would soon be legalized again, at the time it's illegal. The alcohol itself, one could argue, is no big deal, but it was supplied, basically, by organized crime. This involved exploitation and violence, of course. One could argue that this demonstrates immorality.
I'm not sure "immorality" is the best word, though, and I'm not sure that's what Fitzgerald was going for. The parties demonstrate carelessness and recklessness more than they demonstrate immorality. For instance, the reckless driving and handling of automobiles is dangerous. This demonstrates the extravagance and carelessness of The Jazz Age, it would seem. "Immorality" might be a stretch, though.
The parties are probably more important in demonstrating the shallowness and hypocrisy of people in The Jazz Age. Life seems to be one big party for the people that attend. And they flock to Gatsby's when there's free booze, but stay away when he dies.