We can learn to be more patient. Maybe the 'thing' we thought was great would have caused more trouble if we had it immediately. In the story, the lack of that thing led to a positive outcome, so it teaches us to wait and see how things develop.
The story also tells us to look at the bigger picture. We might be focused on getting one particular thing, but when we step back, we can see that not having it might lead to other opportunities or a better state of being in the long run. For instance, if it was a relationship that didn't happen, we might meet someone even better later because we had the time to grow and learn from the previous experience.
One lesson is to trust the process of life. Things don't always work out as we plan, but that doesn't mean it's a bad thing. Just like in the 'Best Thing I Never Had' story, there might be a greater plan at work.