What is the lesson learned in Pandora's box?

It depends on the audience. The modern interpretation is very different from the intended moral application.

In the original tale, Pandora was the very first woman, and was specifically created to PUNISH mankind for their complicity with Prometheus and his gift of divine fire (they accepted the gift, which was also considered a sin).

Similarly to the Hebrew creation story, women were essentially the source of all the evil and ill in the world. The were created to be something men desired and to be owned by men. At least according to those stories. The real moral of that story is that woman are inherently untrustworthy.

A more modern moral would probably be that you should listen to the advice of others who are more wise or experience than you, and further, you shouldn't let your curiOSity override your common sense.