Hmm, I have to disagree about art that tries to convey a message being an abuse of art (though if the message is over bearing and heavy handed, propaganda may be a better word for it than art, but a well thought thesis being argued in a film is perfectly respectable in my book). For example, literature, which by far is my favorite form of art, invariably always has some kind of message behind it whether intentionally or unintentionally placed there by the author. (Though I can imagine that dine-a-dozen mystery and romance and other such novels that are pooped out by authors on a monthly bases may forego any type of intellectual message for the sake of amusing fluff, much like your typical summer blockbuster, but I would hardly consider those kind of books to be art). Skimming my own collection of books, I can't see a single work of fiction that I have read that I cannot immediately associate with some kind of a message.
I don't suppose fiction in the form of film should be any different. I have not seen District 9, so I cannot make any personal comments on it, though I have only heard good things about it. When I first heard about it, my thoughts were that it sounded like complete crap, but now I am actually quite looking forward to seeing it, but unfortunately have yet to have the opportunity. That said, films like Revenge of the Sith including an obvious political message leaves a bad taste in my mouth. Not because of my own political position, but the way in which it painfully dates the film, and by the fact that rather than being well thought out, it takes the popular stance of the public and regurgitates it but hardly in any new or creative way.
Just my thoughts on the subject of films with messages.
As an additional 2 cents, I guess an author or film maker should always be aware of the views he is putting into his work, as good art should be able to speak to anyone, but strong biases alienate a portion of an audience. I am just not sure how it is possible to leave your biases out of a work completely and still have it be an honest work; I can't imagine a film that tries to please everyone not feeling rather fake.