My complete answer to the late 19th century question "what is electrodynamics trying to tell us?" would simply be this: Fields in empty space have physical reality; the medium that supports them does not.

Having thus removed the mystery from electrodynamics, let me immediately do the same for quantum mechanics: Correlations have physical reality; that which they correlate, does not.
N. David Mermin, "What is Quantum Mechanics Trying to Tell Us?"