Sicario places you in the shoes of an idealistic FBI agent, Kate, as she naively enters the enigmatic and brutal world of covert operations within the cross-border drug trade, hoping to make a difference. Kate represents our own naivete and idealism about the war on drugs. Like her character, the viewer is completely lost most of the time and occasionally enlightened to certain aspects of the operation only to later realize that they understood nothing at all. The film ultimately strives to break down your idealism and put its efficacy into question.
The CIA has essentially contracted a Colombian hit man, Alejandro, who is apparently a former Colombian prosecutor whose family was brutally murdered by a merciless Mexican drug lord. How Alejandro went from lawyer to special forces assassin is besides the point. Ultimately the CIA assists Alejandro in murdering this Mexican drug lord to help the Colombian cartel take over because, supposedly, they were better at keeping order, don't murder as many innocent people, and have probably made a deal to keep the brutality of the drug trade away from crossing the U.S. border. That's the end game: to reduce the violence by placing a less brutal leader at the head of the Mexican drug trade.
The CIA are not presented as good guys but simply as problem solvers. They know that as long as drugs are illegal in the U.S. and the public provides a demand, the war for control of the drug trade within Mexico will continue to rage. Inconveniently, however, it has gotten too close to home and spilled over the border and onto U.S. soil because the current drug lord didn't get the memo that he can't do that. And so this presents the problem they have been tasked with solving. They have to dethrone the gang that has lost control and allowed this spillover of violence onto U.S. soil. So they turn to the Colombian drug cartels for help.
Everyone is a pawn, Alejandro is using the CIA to get his own revenge, the Columbian cartel is using Alejandro and the CIA to gain control over the Mexican drug trade, and finally the CIA is using Kate to legitimize an illegal operation.
Over the course of the film, Kate's idealism is systematically broken down, which leads to the conclusion of the movie where she is forced to sign the paperwork legitimizing the operation. While she tries to hold on to some vestige of her idealism in initially refusing to sign the paperwork, she ultimately chooses not to shoot Alejandro as he is walking away. Why? Because she reluctantly has come to understand what he did and its necessity, and because she is not sure whether shooting him is the wrong or the right thing to do, just like the viewer is not sure what is wrong and what is right throughout the entire film, even as everything is finally revealed. That's how she holds on to the last piece of her idealism, she doesn't take action, making her ineffective. That is why she is not a wolf in a town full of wolves, as Alejandro tells her before he leaves. Ultimately, the film suggests there is no place for idealists in war, or at least the war on drugs, because idealists are paralyzed by their idealism and are ultimately ineffective because they cannot justify the means with the ends. At the same time, the subtlety of the film might also suggest that the idealists are better than the pragmatists and that the pragmatists like to think they are more effective than they actually are.