Characterizations
Characterization refers to the way the characters develop and add to the story of the musical. Characterization ties into theme by allowing the plot to develop as the character develops. For example, in the musical "Wicked," the main character of Elphaba is an outcast. As the musical progresses, however, she learns to accept herself as she is.
Goal
The characters in a musical need goals, and depending on what that goal is, it can add to the overall theme. For example, in the musical "Phantom of the Opera," the Phantom is looking for companionship with the young ingenue. This creates the themes of loneliness and wanting to belong in the musical.
Conflict
Plot isn't very interesting without conflict, and musical conflict does much to develop theme. For example, in the musical "Into the Woods," the Baker is haunted by memories of a father who walked out on him. At the end, he is faced with his absent father and must decide whether he will follow in his father's fotsteps or return to his own child. This speaks to themes of following one's own path and learning from past mistakes.
Moral
Many musicals end with a moral or message, wrapping up the theme for the audience. For example, the musical "Once on this Island" ends with a song called "Why We Tell the Story." The message of the song tells the audience that while we sometimes suffer hardship in life, we can learn from it and use it to help us in the future.