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The episode teaches that you shouldn't worry about how people might laugh at you, and not let embarrassment hinder you. You must keep trying.
Throughout the episode, the PJ Masks did the following dance moves:
The robot (which was intended to be an imitation of the PJ Masks clones Romeo created in a previous episode)
The spinning tornado
Luna Girl acts friendly towards the PJ Masks (specifically Catboy) again. Catboy complimented her stomping and compared it to dancing, followed by Catboy teaching her some dance moves. They concluded the night by saying "PJ Masks, all shout hooray, 'cause in the night, we saved the par-tay!"