Should art carry a moral message?

Artists have the skill and audacity to do things that are provocative in the name of their craft or creative gift. Let them do as they choose and live with the results. But, can a specific artist distinguish between morality (individual choices) and ethics (collective choices) when recognizing where that metphorical "line" is? Let those who do, and do not, appreciate the art decide...yes, it is risky.