What is the moral of the story "The Mark of the Beast"?

I would say that the moral of this story is that taking an empire and trying to rule it (as the British did in India and elsewhere) is nearly impossible to do well and is harmful to the people who take the empire.

In this story, the British characters, and especially Fleete, are completely ignorant of the empire they are supposed to rule.  Because of this, Fleete does something really stupid without necessarily understanding that it was.  It is hard to run an empire when you don't/can't understand the ways of the people you're trying to rule.

It is also clear from the story that power has corrupted the Englishmen.  Because they are the colonizers, they feel that they are so superior that they can do whatever they want.

In the story, ignorance and arrogance lead to terrible consequences.  Kipling seems to be saying that this will be the case in real life as well.