What is the exact moral about the movie Three colors Blue?

For a start, Three Colours Blue is the first film in the Three Colours Trilogy:

1. Three Colours Blue (1993)
2. Three Colors: White (1994)
3. Three Colors: Red (1994)

The "Trilogy" wiki has a lovely description of the symbolism of these colours:

Blue, white, and red are the colours of the French flag in left-to-right order, and the story of each film is loosely based on one of the three political ideals in the motto of the French Republic: liberty, equality, fraternity. As with the treatment of the Ten Commandments in The Decalogue, the illustration of these principles is often ambiguous and ironic. As Kie?lowski noted in an interview with an Oxford University student newspaper, “The words [liberté, egalité, fraternité] are French because the money [to fund the films] is French. If the money had been of a different nationality we would have titled the films differently, or they might have had a different cultural connotation. But the films would probably have been the same.”

A very detailed breakdown of the meaning of the first film, Blue, can be found here if interested. To give a high level summary of the liberty meaning though, consider how the film begins.

A woman's husband and child are killed on a car accident and the film is her attempt to continue life, initially by cutting herself away from everything and living in isolation, and later by starting to integrate herself again.

In this respect, the film takes the concept of liberty and applies a very emotional and human aspect to it. She was suddenly alone and tried to cope with her life by shutting everything else out - by finding liberty. But it was impossible for her to do so.