The author expresses the transcendance of nature, depicted by the skylark's flight (symbol of freedom) and its song (symbol of both joy and its transmission to others).
This is a common leit motif of Romantic literature, prevalent in other works (not just poetry) of the time. Another idea appearing in this poem (and a recurring theme of the time) is that there is a spiritual correspondance between nature and man, but that man must nurture his awareness of this and not "lose touch" with nature and his inner self.
Check out the reference below for further insight into the themes and historical context of this poem.
I think the central message is the spiritual relationship with nature. The poet compares the bird to a sprit from heaven. While reading the poem I feel some rejoice and something worried me that we fail to admire the nature.
Shelley's ode "To a Skylark" was witten in 1820 when he was in Leghorn in Italy. Shelley compares the skylark to various objects in order to make the readers understand as much as is possible the mysterious and beautiful bird, and its divine music.
The following lines capture the essence of the bird and reveal the central message of the poem: "Like a poet hidden/In the light of thought/Singing hymns unbidden/Till the world is wrought/To sympathy with hopes and fears it heeded not."
Shelley in his essay "Defense of Poetry" (written 1821 published 1840) remarks that poets are "the unacknowledged legislators of the world." That is, although the poets are never in the limelight they guide the destinies of a nation by voluntarily pronouncing profound truths which serve as moral guideposts to the common people. Similarly, the skylark also is rarely seen but its soulful melodious music serves to remind the people of the mysitcal beauties of Nature.