Movie Intent

Intent 1: Raises the question if our world is actually a simulation.

The film does raise the question of whether or not we are in a simulation ourselves. In the 1930's world, the world seems real enough to all of the people in it. They are all unaware that they are in a simulation. One of the characters Ashton does find out, and leads to Douglas finding out that he is in a simulation as well. However it is not made clear that the simulations end there, the world that they describe as the top could be a simulation as well.
Douglas even after developing the 1930's simulation did not think that his world could be a simulation, it wasn't until he saw Fuller's letter that he realized his world is a simulation.

Intent 2: Suggests the dangers that come about by creating a simulation.

While creating a simulation might seem like a great idea to escape your reality, it creates a reality of its own that is similar to that of your world. If you program the simulation good enough, that each character in the simulation behaves like a person in reality, it is possible that they are "real" too, and have the ability to think for themselves.
When the people in the simulation find out that their world is not real, it can have a great effect on them. For example when Ashton found out his world wasn't real, he had a mental break, and went on to kill Furgeson/Douglas. He also had a never ending desire to want to see the world that is real, and once he left his simulation to the world he thought was real, he found out it was just a simulation as well. How can one know for sure that the world they are living in is not a simulation.

Intent 3: Discuss how actions in a simulation effect those in and outside of it.

The actions of those who entered in the simulation affected those inside of it. For example Fuller, the creator of the simulation in the middle world, used the simulation to spend time with female acquaintances. This affected the avatar he used in the simulation, Grierson's, relationship with his wife, as she thought that he was cheating on her. As an affect of Fuller entering the simulation, Grierson had no memory of what happened, and blacked out/experienced a Fuge state.
Similar effects occurred when David enters the simulation as Douglas. David entered the simulation to murder people, as he found enjoyment in it. However this had consequences for Douglas as he was blamed for the murder of Fuller, as well as the witness who saw him murder Fuller, while in reality it wasn't Douglas who did the killings, but David.
The actions of those in the "real world" can have an unknowing effect on those who are in the simulation.