Any of the four would make a grammatically correct, coherent sentence. But as VarunKN says, it's fairly common to talk about a movie having a "message", that is, some moral lesson or insight into humanity that it is trying to convey. The others are not common phrases.
We do sometimes talk about the ideas in a movie, meaning original or unusual concepts that go into the movie. If someone said she likes "movies with ideas", I'd understand her to mean that she likes movies that are original and creative rather than yet another story about villains chasing somebody and blowing things up.
I don't think I've ever heard someone say "a movie with a comment". Maybe that would mean a movie that makes a value judgement about something? Well, I suppose I could see someone saying it in the right context. Like, "Here's a list of movies that we could watch. There's a place for people to write reviews, but I don't see any. Oh, wait, here's a movie with a comment about it ..."