One of the truths of human experience in this world that Max and his Wild Things understand is that what we want is for a King to come and make things right. We want a King who will provide for our needs, give us important things to do, and protect us with a shield that keeps out the sadness and the loneliness. When Max pretends to be that king, things don't work out how he promised or his friends wanted. But that's not surprising, for all of us, at times, have pretended to be king of our world (or our part of the world), and our parents were doing the same since our first parents rejected God's rightful kingship--and doing so hasn't worked out for any of us.
The best we can do of ourselves is realize (as Max does) that our own struggles and flaws and griefs--our brokenness--are shared by everyone around us, and we are as difficult to live with for other people as they are for us. Realizing that, we may be able to find the humility and compassion to live in some measure of peace with others, at least for a time. Such a realization does not solve our fundamental problem of brokenness, but may help us cope with it, at least for a time.
The good news is, however, that we don't have to settle for merely coping with our brokenness. What Max and the movie do not understand (or at least the movie doesn't get to it) is that this broken world is not all that there is, and the True King has not left us by ourselves without hope. In fact, the longing that we all have for something better, is actually an indication that things were meant to be better. And our King has actually come close to us, not just to take control (which is rightfully His) but to serve us. He came once to begin the work of making our world, and ourselves, right, by taking the worst consequences of our brokenness upon Himself. And He will come again--finally, and forever--to finish making all things right, restoring the world to the way it is supposed to be, and removing all sadness and loneliness and injustice. In the mean time, He calls us, and leads us, to live with and for each other, in accordance with that coming new world, where he is the rightful and recognized King, rather than continuing to insist on being pretenders to the throne.
Not that I have already obtained this or am already perfect, but I press on to make it my own, because Christ Jesus has made me his own. Brothers, I do not consider that I have made it my own. But one thing I do: forgetting what lies behind and straining forward to what lies ahead, I press on toward the goal for the prize of the upward call of God in Christ Jesus. ...[Because,] our citizenship is in heaven, and from it we await a Savior, the Lord Jesus Christ, who will transform our lowly body to be like his glorious body, by the power that enables him even to subject all things to himself. (Philippians 3:12-14, 20-21)
*This isn't meant to be a review of the movie, but rather a meditation inspired by it.