How do you think the show would make a "winning isn't everything" Aesop? And please don't say "badly"... I'm not looking for post season 9 bias or pointless snarking in my forum posts...

Isn't that kind of what they did in both "Sisterhooves Social" and "Brotherhooves Social" when the CMC member of focus didn't win? And isn't that kind of what they did in "The Last Roundup" when Applejack wouldn't come back home in part because she didn't win first place in the rodeo in Canterlot? Heck, isn't that sort of what they did with "The Super Speedy Cider Squeezy 6000" and "Pinkie Pride" when the mane six member of focus lost the contest they were competing in?

7360086
By choosing a friend over a title. Like, if one of the ponies was in danger, they'd have a pony that's winning a contest or something give up to help the endangered pony.

In fact, I swear something like that has happened a few times in the series. The first one that comes to mind is, "A Trivial Problem", where Twilight ultimately has to choose between winning a contest or keeping her relationship with Pinkie Pie intact.

Heck, Rainbow Dash did it in season 3 where she, after Lightning Dust almost killed her friends with a reckless tornado, handed in her wonderbolts pin and gave up her dreams of being a wonderbolt in Wonderbolt Academy.

Then there is what happened to the eagle that won the race in The Best Pet Ever... He gave it up gracefully to the Tortoise.

I'm assuming you mean a moral lesson more purified and refined than the ones the show did: an actual contest as the focal point of the episode and not just a backdrop, so a full episode of contest (edited for emphasis) with someone taking it too far, crossing a line, and then realising they crossed it. Couple of ideas come to mind to set that up show-style:

-Apple Bloom finally joins the junior rodeo circuit. AJ's filled her head with how she won her first rodeo, so Apple Bloom obviously goes through some lengths to win as well.

-Sweetie Belle manages to join the Great Equestrian Bake-Off. She's sick of her sister mocking her baking skills (or lack thereof), so she takes it too far.

-Rumble joins a junior flying competition, one with several rounds. Despite giving other things a try, he still wants to win, badly, hoping to get his cutie mark.

-the CMC are sent on another Map mission, and it pertains to a contest where two friends have fallen apart because they're competing.

Then upon the set-up, you get to introduce some other characters and competitors, and let things escalate from there. The most interesting one would be if Diamond Tiara was involved somewhere, as a spectator or competitor or friend of a competitor, even. A rival of Diamond's would work nicely as somepony to play off of.

And then, the escalation and resolution:

-MC is about to cheat or sabotage, then stops themselves. Kind of important they don't actually follow through with it, otherwise it comes across more as being sad they got caught or some such.

-MC is pushing their limits, does something dangerous, and wins. Right before collapsing. Instead of getting praise from their instigators, they get scolded for going too far.

-MC overhears another pony getting pushed hard to win. MC realises it's no fun to focus on just winning. Alpha and Omega did this in one of their films, for reference's sake.

7360086
I agree with 7360091

I'll add Fall Weather Friends to the list of episodes.

7360493

I'm assuming you mean a moral lesson more purified and refined than the ones the show did: an actual contest with someone taking it too far, crossing a line, and then realising they crossed it.

See above.

Honestly, the show has already done that message many times. The OP's question is misinformed and assumes otherwise.

The Lightning Dust thing.