There is a discussion of the imagry and meaning in the WSTFD thread. But my sense of the consensus is twofold - 1) It's more about their faith that "the only way" is through Jesus and by living as Romans ("When is Rome, do as the Romans do") is a sure way to get off the path.
But, I'm in the camp with some others who 2) feel there is duality in the message. It is captured by the various images and lyrics about the "Specialist, the Teacher, the Native American, the Soldier who dies" where there are strong feelings about these subjects today. And that we are not meant to blindly follow the leader and do as we're told because "When in Rome, doing as the Romans (The Great Empire of the Past) did" is a sure path to ruin. Hence the soldier dying in an Imperial war is staying the path and following orders.
I think they're really searching and growing.