I can't comment enough on individual eps because I always watch this show as a binge and they flow together, but:

Having a few days to mull over it, I can make the following addendum: a pirate's life sucks in many ways, and many characters are not actually participating in it because they want to be, but because they feel an oppressive lack of options.

I think this is closer to the show's message than the alternative. I think some pirates, like Jack and most of the time Anne, enjoy being a pirate, but it's always within a context of England's oppression.