The Spanish fascists are the forces of evil, and the forces of good fight them in the various ways that the seemingly-weak can fight the strong. Each victory is compromised and painful, and some good or innocent people die more or less in vain.
Knowing that in historical terms the fascists drove out the left wing is Spain gives us an external perspective that the people in the film don't have. When they say things along the lines of 'What if we lose? Well it was still worth the fight' you know that evil wins, at least for forty years. It also makes me wonder whether we (i.e modern liberals, environmentalists, the irreligious, feminists etc.) are fighting a losing battle. I would say 'it is worth going down fighting' but that's easy to say in my protected life.
My feeling is that this film goes a bit further: we are supposed to suspect that the other world is not real; it represented the mental rebellion of the girl against conformity. And it was important that she didn't 'know' she can escape into an other world, and the rebels don't 'know' whether they are going to win, and we don't 'know' whether everything will turn out OK or not.
So I think the message of the film is that, as it is worth fighting even though you may not be able to win, it is worth cultivating the imagination, even if it doesn't provide you with any 'real life' rewards. But on the other hand you might win, and it might be real.
Now I can go read some other people's opinions.