Dystopian worlds are a setting, but a dystopia is defined genre of fiction. Look, you can have a story that features a crappy world, many stories have that because a crappy world is interesting.
But having a crappy world doesn't automatically make it part of what we call dystopian fiction. Yes, every good dystopian work HAS TO HAVE some political messaging, otherwise it wouldn't really belong to the genre.
1984: totalitarianism and the constant twisting of history and language
Brave new world: consumerism
Handmaid's tale: feminism and religious extremism
Hunger games: the way reality television is fucked up, and just overall class divide.
Oh yeah, one thing they all have in common is that they're very preachy and that's the point. Some of them feel like they're written as a manifesto first and foremost before the writer decided that it would be more marketable to write a story around it.
So sure, if you want to write a story where everyone is miserable then it's completely fine, and yes it can be very good too, so don't hold yourself back on that little detail, but it wouldn't be dystopian fiction.