Mary is simply showing off, comically exhibiting both the pride and vanity she is moralizing about. However, her pedantic utterance, if paid attention to, helps us to understand Mr. Darcy . Mr. Darcy is not vain. For example, he certainly is not concerned with what the people of Meryton think of him when he says there is no one he cares to dance with and notes that Elizabeth is not attractive enough to tempt him. Darcy also exhibits pride, but not vanity, when he proposes to Elizabeth in a manner that insults her in every way. He says he will deign to take her despite the deficiencies of her family and fortune: he certainly is paying no attention to how her she or her family might feel about him. His pride comes from his superior rank in society as a wealthy aristocrat, and he needs to learn some humility before...
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he can be united with Elizabeth.
The quote also alerts us that pride is a widespread failing. A traditional reading of the title Pride and Prejudiceidentifies Darcy as pride and Elizabeth as prejudice, but Elizabeth also has pride. She has feelings of "self-complacency," what we would call self-satisfaction, about her own worth that allow her, for example, to take deep offense both when Darcy offers her the great favor of his hand in marriage as if the honor were all on his side, and later, her pride is offended when Lady Catherine forbids her to marry Darcy. She tells Lady Catherine that she is a gentleman's daughter and won't be dictated to. However, she has some vanity as well: she feels mortified or embarrassed at how others view her family.
Austen, who defended the novel as genre, might also have been having a little joke at the expense of moralists who condemned novel reading. We learn more about the pitfalls of both pride and vanity from the liveliness of Elizabeth Bennet as a living, breathing, suffering and joyful character in a novel than from the dullness of Mary's moralizing, secondhand preaching, lifted from what was considered morally elevating literature.
I think she means exactly what she says in the last line. Pride is our sense of self-worth, which ought to be independent of what others think of us. Vanity, on the other hand, is wrapped up in others' opinions of us. Austen is probably referencing a philosophical debate with which she almost certainly would have been familiar- the relationship, described by Jean-Jacques Rousseau, between amour-propre, or vanity, and amour de soi meme, which still references others, but is more concerned with one's internal qualities.