Auden was remarking on the utter inane bureaucracy of modern semi-socialist societies. The unknown citizen, so ordinary in every way, should deserve an honored spot in the epitome of social governments. Through the use of irony, Auden is pointing out that honoring such an individual is outside the realm of actuality. While the modern society celebrates individuals with individual achievements, the poem flips that idea on its head and celebrates the unknown and average person.
The poet is sending out a warning in many ways. The anonymous nature of the unknown citizen is a comment on governments encouraging communalism versus freedom. The last lines of the poem comment on how the citizen was perfect in every way and inquires if he was really free. The utopian answer is that if he wasn't free, surely "we" would have known about it. This is really the sticking point of the poem. By giving up our individuality in the world and doing only that which is expected or demanded of us, regardless of the circumstances, then we forfeit our freedom as an individual.
The final thought on the matter is contrary to the underlying irony. Auden argues it is possible to live an entire life as an unknown citizen and there is nothing inherently wrong with that, but you will never know freedom.