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While gender roles is a major theme within Shaw's Pygmalion, true love and romance are not, they are, it would seem, minor themes embedded mostly in Freddy's relationship to the overall play. The more important themes that relate to Liza and Higgins are gender roles and the idea of personal transformations in accord with ubermensch ("superman"). Having said that, Shaw does introduce a subplot of romantic and true love into Pygmalion that is emphasized by Freddy's love for Liza.
In Pygmalion, Shaw has let it be known from the outset with the two confirmed bachelors, Higgins and Pickering, that his characters will act out of consistent accord with their natures, as Higgins points out about himself in Act V, saying "I can't change my nature." Therefore all audience/reader hope of a miraculous change for Higgins or for Liza--who from scene one has demonstrated strength of mind, of will, of independent determination--is foretold as being a hopeless hope. Shaw intends no message of true love to be delivered through Higgins. His message through Higgins, rather, is the expansion through and the limits on ubermensch "Life Force" and the ability to transform and live to the fullest of one's potential, a feat Higgins has reached in his work and in his desired state of relationships.
Liza has been transformed by language, which has been added to her natural endowments and then further developed in her an unsentimental adherence to moral right, first seen in scene one in which she scolds Freddy's mother for not having done her duty by Freddy. For Liza, who has always known her human dignity (e.g., "I'm a good girl"; "my words"), her experience with Pickering and Higgins has shown her her worth and value. As a result of this combination of transformation, natural endowment and revelation, Liza states in Act V that she would not marry Higgins. Therefore, Shaw intends no romantic message of true love to be delivered through Liza and Higgins.
Freddy on the other hand is truly in love with Liza. He sees her beauty, her freedom of spirit, her unpretentiousness, and her sincere simplicity--he sees the fact that she is the opposite of his obnoxious sister--and he falls in love with her. That she has no wealth, no family background, no inherited income to bestow on a marriage, none of these things matter to Freddy (in whom she has always had a politely pleasant interest ("talking to a stranger and wished to be pleasant.")) who genuinely loves Liza. His love is not returned in kind--Liza is not unabashedly in love with Freddy--but Liza does respect and admire and like him well enough to accept his genuine love for her, which is better and more honorable in her mind than Higgins' proposal of finding a wealthy duke or earl to marry her. This is Shaw's message of true love: even though not returned in the same degree, true love must look like Freddy's love for Liza.
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