It's basically a political and societal message: the movie denounces authoritarian and fascistic behavior in Brazilian police corporations, but also constantly puts the blame for it on "the system", which, it appears to be director José Padilha's view, is the pervasive corruption that leaks from Brazilian society into its institutions, and which becomes a kind of self-feeding organism once it touches the state's structures of power. (This view is eventually put more clearly in Tropa de Elite 2, and even more in Padilha's Netflix series "The Mechanism"). It's also not subtle at all about directly quoting Foucault's "Discipline and Punish"; and although my only background on that particular book is a quick skim over its Wikipedia page, a lot of its points seem to be addressed as subtext (or, rather, text) in the movie.
The interesting part, though, is that this flew over the heads of most Brazilians, or, you could say, we gave it "our own" interpretation: we found catharsis in seeing actual and "potential" criminals being killed and tortured by police in the plot, their faces shot with shotguns at point-blank range in order to "ruin their funerals". Captain Nascimento became a kind of national hero, an expression of our own frustration towards rampant crime, and of our hatred of the criminals who made (and still make) us wonder if we're coming home alive by the end of any given day. Quotes from Tropa de Elite quickly became parlance in probably the entire country, too.
So, you could argue, an ironic, "meta" thing went on with our reaction to the movie: instead of simply fulfilling its goal of exposing fascism in Brazilian institutions, Tropa de Elite brought to light and revealed what some would describe as "fascism" in our own views, seeing right in what the movie attempted to depict as wrong.
Considering that these views were mostly held by the middle class, and probably not so much by the poor living in favelas, you can also argue that the movie proves the point, with the meta thing described above, that it makes in Matias' law school class scenes, where they quote (?) Foucault and say the state is there to protect the rich by oppressing the poor -- only it protects the middle and upper middle classes, which are most normally not profiled as potential criminals as often as the poor are.
The cherry on the film's irony cake is that, although it was officially a 2008 release, its widespread success and cultural influence took place in 2007, when it leaked and spread into every (middle class?) Brazilian household through rampant piracy.