That there isn't a massive gap between them and the top teams, that perhaps better game management could have easily won the game for us instead of Chelsea, that big games like these aren't as scary as they would have seemed prior to the game.
There's a lot to be said for coming to the big event, giving your all and then falling short. It both reassures you that you have the skills and talent to make the jump to the top (as long as you don't completely fudge up, of course) and challenges you to do better in the future.
Of course, what is more than likely is that the players who have now gained this experience will be sold off in the summer and replaced with bargain buys who lack this experience (restarting the whole process), but there's a lot to be gained from losing a final or falling short on a big occasion. I speak with experience of the latter, but I can't imagine it's that different psychologically.