What message does Fitzgerald send about the American Dream through his characters?

For F. Scott Fitzgerald's characters, particularly the protagonists of This Side of Paradise and The Great Gatsby, the American Dream of accumulating great wealth and societal status comes at a high personal cost. Fitzgerald's characters tend to get so caught up in their pursuit of material wealth that they either lose track of the things that they love, find those people or ideals corrupted, or destroy them without realizing it.

The habitual grasping for more...

For F. Scott Fitzgerald's characters, particularly the protagonists of This Side of Paradise and The Great Gatsby, the American Dream of accumulating great wealth and societal status comes at a high personal cost. Fitzgerald's characters tend to get so caught up in their pursuit of material wealth that they either lose track of the things that they love, find those people or ideals corrupted, or destroy them without realizing it.

The habitual grasping for more power, greater wealth and most of all, higher status, tends to isolate characters such as Jay Gatsby and Amory Blaine. These men start out with relatively naive, yet somewhat pure hopes and aspirations, but end up veering off course because the lover or professional goal they at first seek seems less impressive and valuable to them once they obtain it, or come into close contact with it. Fitzgerald's characters have an unhealthy obsession with being respected and with impressing other people. In that context, they grasp for "American Dream" of money, fame and power, not because they necessarily want these things for themselves, or even understand what these things mean, but because they think other people will be impressed by them.

Amory and Gatsby wrongly expect that once other people admire them, they will feel fulfilled and less lonely. What they discover, however, is that the more they achieve, the more they want, and the less satisfied they feel with what they have. Due to the fact that these men are seeking out an amorphous notion of what they think success and happiness looks like, they never stop to consider what or who will actually make them content, and instead alienate those people who might actually care about them. 

By the time Fitzgerald's protagonists realize that they have been seeking happiness in all the wrong places, they have usually gotten so far off track and corrupted themselves so thoroughly that they cannot turn back. Ultimately, for Fitzgerald's characters, the American Dream is a dangerous illusion.