First of all, it is only a theory that dreams are messages from the subconscious. It is not proven, and there are other theories which are just as possible.
and even if has some truth, it may be true for only some of the dreams, while the rest are quite random.

Secondly, you don't have to change a lucid dream, you can continue the dream as normal, and the only thing that change is that you have a much higher awareness of what is going on, and are able to remember the dream much better. In that respect LD are a better way to learn about your mind. You can also question dream characters directly, and view finer details.
You can even interpret the dream as you are experiencing it, with the advantage that you don't need to try to vaguely remember the dream after waking up.

In normal dreams we like behave and think as if we are heavily intoxicated. In an LD your mind can be clear and, well, lucid, which is a much better state to explore your consciousness.