Basically, the lesson is about the false or shallow nature of physical beauty and of appearances in general.
Pope describes a party of young, wealthy people, a sort of early eighteenth-century version of the stratum of society known in the 1960s as the "Jet Set" or "The Beautiful People." Though his mockery is light-hearted and comical, unfortunately there is a touch of misogyny in it as well. Belinda, the central woman of the story, is depicted as coquettish in a frivolous way. Her hair, the famous "lock," is described as being "nourished to the destruction of mankind." It is exaggerated language that is the essence of the mock-heroic style, but Pope still seems to view Belinda herself in a demeaning way.
Pope's additional theme, however—as a corollary of the idea that appearances are of little importance— is the wrongness of vanity. He even seems to be making a feminist statement when he has Clarissa dramatically ask, "Say, why are beauties praised and honoured most?" Clarissa's motive in aiding the Baron's snipping of the lock may be due to envy, but her statement is valid nonetheless. So, despite the somewhat demeaning depiction of women in this story, Pope is debunking the stereotyped view of women as having value only for their looks. This is the centerpiece of his broader theme of the superficiality of appearances and of the glitter in wealthy society, which he describes satirically.