This is an amazing parable, because one would have thought that if a person was incarcerated by the King of Kings, he would be rebelling by breaking out, and yet our holy sages taught that thinking so is idiotic! H"Y desires us to be free, not to be constrained even by inordinate subservience. There is a great deal to be said about this, every person can understand this according to the depth of their heart - in truth.
When the Messiah is coming and everyone is going to have the intelligence to desire only the service of H"Y, don't think that the world will look like one auditorium of goody goodies, God forbid. No one likes goody goodies, least of all H"Y. That's why He gave us Na Nach!
Understand this well, for it is your life - Na Nach Nachma Nachman MeUman!