That's not a lesson. That's fiction. Walter Peck is the bad guy because the movie needed a bad guy to release the ghost and create mayhem. Making him a pompous bureaucrat was just a convenient caricature.
In the real world, ghosts don't exist, and healthy skepticism is in fact in the public's best interest. If some actual wackos built a "ghost contaiment unit" in the basement of a derilict fire house and went around New York "catching ghosts," it would be prudent to assume that they were charletains putting on light shows for dupes. In the real world, Walter Peck would be a hero who stopped the dangerous con men.
In the era of fake news, violent election demialism, and the rise of christofascists, I think reality could use a few more Walter Pecks.