What do democrats want? What is the message they intend to communicate?

They want a host of different things (and different Democrats differ on what they want) - but the prime thing they all want in the immediate short-term is for Trump to stop dismantling the federal government. They think that's bad policy, and they think he's going about it incompetently.

It will be almost impossible for them to do anything about it, though. Trump was elected, so he gets to make nearly all of the decisions relating to the executive branch. What few decisions are reserved by the Constitution to Congress (like the confirmation power) are given to the Senate, which the Democrats don't control. The major levers that Congress has over the Presidency (legislation, budget, oversight) are unavailable to the minority party.

At this point, though, Trump is still more popular than he was last time around at this point in his Administration. And he shrewdly focused his early efforts on the less popular parts of government, at a time when the electorate (globally!) is looking for change. Which makes the Democrats' message very difficult - they want to attack the way he's doing this, but have to avoid looking like they're claiming that the status quo doesn't need changing.

Meanwhile, the Democrats also want to litigate internally whether they want to be a center-left party or a left-populist party. Which doesn't necessarily interfere with being an effective opposition party, but it makes it very hard to start promoting an affirmative agenda rather than state objections to the current Administration.