These are what we call the 'YMMV items.' Things that some people find in this work. We call them 'your mileage might vary' because not everyone sees these things in the same way. This starts discussions in the trope lists, a thing we don't want. Please use the discussion page if you'd like to discuss any of these items.
The director specifically states it's a commentary about East African child armies, so probably the Southern Peoples' Liberation Army (currently ruling South Sudan) and the Lord's Resistance Army (the infamous Ugandan rebels). What happens to Sara is a particularly strong parallel with the LRA's treatment of girls as non-combatant sex slaves.
Complete Monster: King Hamdo is a raging and unpredictable tyrant who uses child soldiers as cannon fodder. Hamdo evokes the smallest drop of sympathy because he is obviously insane and in great pain - and then he kills his cat in a temper tantrum and sexually assaults a little girl. His second-in-command warns him that one of his tactical moves will directly result in the bloody deaths of thousands of children, and his response is, more or less, "So?"
Ensemble Darkhorse: Some fans actually complain that the story follows Shu instead of Nabuca.
The dark-skinned, blond-haired boy in Nabuca and Tabool's corps has a surprising amount of Japanese fanart, as does that corps' drill sergeant.
Esoteric Happy Ending: Even setting aside the whole Good Girls Avoid Abortion thing, the script seems to entirely forget that Sara's parents are now never going to see her again and she's very likely going to be killed by the Earth's still supernova-ing sun. Shu's optimism seems just a little misplaced.
Foe Yay: Tabool's unhealthy obsession with Nabuca and subsequent rage whenever Nabuca rejects his attention are typically interpreted as an example of this.
There is definitely some tension between Shu and Nabuca.
Moral Event Horizon: King Hamdo has a few, before the series started, he had abducted numerous children, put them into combat and destroyed their villages so they can't go home. Other examples could be Ordering Shu tortured.
Tabool shoots Nabuca and kills him without showing any remorse, showing that the years under Hamdo has broken him and turned him to Hamdo's ideals.
Elamba shooting Sis and the Doctor, leading to both their deaths shows just how far into He Who Fights Monsters he has descended after all the fighting.
Shoot the Shaggy Dog: Some viewers were disappointed to see that, in the end, Lala-Ru fade out of existence and Shu finally returns home with nothing to show for his journey. This depends on the viewer though, since Shu clearly achieves a significant victory in inspiring Lala-Ru to restore water to the world and ending Hamdo's reign of terror.
Some viewers might also wish Shu had more overt & clear personal growth; his amount of character development is debatable and primarily a matter of subtext and interpretation.
The Woobie: All of the main cast have their moments of this with the exception of King Hamdo, but Sara especially stands out in this category.