Each chapter so far seems to be about some kind of escapism, and why when taken too far it stops being healthy and ends up being harmful. I think the first chapter is the weakest with this theme but it's still there. There is also an overall application of the theme with the Dark Worlds, but it's not a simple message of "escapism is bad." While Ralsei says he and other Darkners aren't real, Susie correctly points out that she is still able to hear, see, and touch them, and that furthermore they have their own personalities, wants, and emotions. Furthermore, Kris and Susie's experiences in the Dark Worlds have given them (especially Susie) real personal growth that has been reflected in their interactions in the Light World. Therefore, Deltarune tries to suggest a balance of escapism, where one can learn from and grow from fantasy, but still returns to the real world to deal with it head-on.
The Dark World is in an unused classroom used to store various board and card games. This could be about childhood and the need to move on past childish games, but it's never really brought up in the narrative and if anything the resolution goes in the opposite direction and suggests holding on to some elements of childhood is perfectly fine. For example, Kris keeps Lancer (as the Jack of Spades) in their pocket for future chapters, and he ends up helping out quite often. Instead, I think the chapter is a slight dig at Undertale and shows Toby moving beyond the more simple themes of that game.
Morality is a bit more black-and-white in Undertale than in Deltarune; the player can choose to be purely good (pacifist) or purely evil (no mercy), with the neutral route serving as either a prelude to the pacifist route, or where the player ends up if they kill at least one monster without killing everyone. Chapter 1 breaks this mold by not even letting the player kill anything; fighting instead causes enemies to flee, and the ending is the same regardless of the player's choices. Furthermore, the King is not redeemed unlike every character in Undertale on the Pacifist route, and the solution is neither to kill or spare him, but instead to imprison him. At each castle town segment, talking to the King shows he has had no change of heart, even if it reveals that he does have a good side when he shows love for his son. Therefore, I posit that the harmful escapism that chapter 1 contains is "escape into a black-and-white view of morality."
This chapter has one of the clearest representations of this theme. Queen describes how the residents of Hometown used things like cat videos on the Internet as a form of escape from reality. When the Internet goes down, they can no longer access this and she hatches a plan to take over the Light World once the Dark Fountain in the Library has been created. She thinks that by trapping Lightners in a world she created purely for their entertainment, she can make them happy. While in-game she learns this won't work due to the Roaring, at a meta-level this could be viewed as escapism always being temporary, as eventually reality intrudes and needs to be dealt with.
At first this one seems very similar to Chapter 2, in that the chapter is about using entertainment as a form of escapism. Unlike Chapter 2 though, which is about contemporary entertainment, Chapter 3 is more retro and is specifically about nostalgia. While Deltarune itself has a pseudo-retro pixel art style, it is still much more detailed than the 8-bit style of the Legend of Tenna game. Furthermore, most of Tenna's show seems based on outdated forms of TV such as variety and game shows, not to mention Westerns. Tenna himself is very much stuck in the past, wanting to go back to a time when the Dreemurr and Holiday families would spend hours watching him, and not willing to listen to the reasons why that would not be possible until the very end. Once he is convinced, Kris and Susie look for a new home for him and can find one in the ghost house. This shows that one can move on from the past and still experience happiness, and furthermore that nostalgia is not required to find enjoyment in old things, as Tenna's new owner doesn't seem to know much about TV at all.
Chapter 5 is not out yet, so everything here will be speculative, but since it is highly likely the chapter is about Asgore I feel it necessary to say at least a little about it.
UNDER CONSTRUCTIONOverall, Deltarune takes a pessimistic view of freedom, but it always appears as a specific form of freedom, namely the freedom to impose one's will on others, or otherwise the freedom to make choices regardless of what others want. This is seen most clearly with some of the player choices that Kris either resists, sometimes outright preventing them, or clearly hates, such as any "Proceed." on the Weird Route. The word "freedom" is used most explicitly in the Shadow Crystal boss fights, and each one usually includes the flavor text "The air crackles with freedom." as well as the boss using the word several times.