1. Theocracy Is Oppressive
Though demonic cults, faeries, monsters, and bandits are all dangers in the holy empire, the most constant dangerous force of all is the church that controls society. Witch-hunts, inquisition, and prejudice against demi-humans, foreigners, and pagans leads to much human suffering. While individual Faithites in the setting may be kind people, using their religion as motivation to help others, the corrupt government merely uses the Faith as a means to punish those who do not fit into the status quo. Priests/clerics are assumed to either be pagan, or renegade Faithites, considered heretics by the Imperial Orthodoxy.
2. Humanity Does Not Understand The Universe
The creatures that are worshiped and summoned by demonic cults are called demons, and the places that they are brought from are called hells, but in a literal sense, these beasts are not demons as defined by the Faith. They are not beings that torture the souls of the damned, physical representations of morality. They are alien creatures, things from other planets, other universes, other planes of existence, brought across the veil to wreak havok and cause chaos.
3. Being Different Is Dangerous
Demi-humans tend to live in isolated communities, and wizards hide their craft from the rest of the world, out of fear of persecution. The empire is xenophobic and bigoted towards foreigners, non-Faithites, and those who defy the status quo. Adventurers are weird, and likely to have taken up a wandering life of dungeoneering to escape the prejudice of mainstream society.
4. Do Not Trust Power
The Emperor himself might not even be human, the Imperial Orthodoxy is corrupt and cruel, the faerie courts are malevolent and fickle, and horrific demon gods lurk beyond reality, hungering for our world. Absolute power corrupts absolutely, the beings that are in control are more likely to be evil than good.
5. Fact And Superstition Are Not Easily Distinguishable
Every town and village has its own local legends, and about half of what is told tends to be true, though not necessarily the exact truth. Rumors of cannibalistic witches lurking in the woods might be partially true, though whether this means there are purely mundane cannibalistic humans living in the woods or a group of innocent magic-using pagans depends. The folk-tales of the empire almost always have at least a grain of truth in them, and commonly accepted facts (like demons being punishers of the damned) might be completely false.
6. Morality Is Complicated
One of the most powerful evil forces that humanity knows of are the demon gods, worshiped by horrific cults devoted to destroying the world. The organization that spends the most time fighting this supernatural horror is the Imperial Orthodoxy, an oppressive church that tortures innocent people for not following the Faith. The faeries are monstrous creatures from another world that play lethal pranks on citizens of the empire, all for their own pleasure. The reason they are here is because they were forced from their homeworld by invading demons. There is absolute evil in the world, but those that fight this evil are not necessarily absolutely good, and may even be just as bad as the evil they fight.
I'd be curious to see what other people's main "themes" of their settings are, I love reading about peoples' homebrew worlds!