What is the moral of the play Dutchman?
I don't know if I'd call it a moral lesson. Certainly, Amiri Baraka had a point of view that he communicated clearly through his play. The play is a terrific example of protest drama, a style popular in the 1960s.
Baraka establishes two iconic characters - Lula, representing white culture, and Clay, representing the non-violent/assimilationist black culture. He then puts them in conflict with each other; Lula challenges Clay time after time on his assimilation into white society. When Clay is ready to fight back, she kills him.
The message Baraka sends is that assimilation is not the answer, and that the non-violent approach to the civil rights movement is not going to work. Bluntly put: blacks should strike first before whites kill them.