The poem "does not have a clearly-defined moral message for the reader. However, it raises important questions about the nature of loyalty, honor, and what constitutes tragedy."
For example, loyalty and honor were entwined with the notion of chivalry, which "encouraged knights to foster the virtues of courage, honor, and service to their lord or kinsmen. Part of this code prescribed respectful treatment of women, who had few legal rights in the Middle Ages." Honor was also enmeshed with the notion of courtly love: "the suitor always treated his lady with respect and admiration, sometimes even adoration. An example of courtly love in the Nibelungenlied is Siegfried's unspoken devotion to Kriemhild and then his respectful wooing of her through Gunther over more than a year."
In order to understand how loyalty, honor, and tragedy contribute to the sense of morality, I encourage you to visit the link below here at eNotes that addresses these themes.