The theme of Realism against Romanticism is common in Western literature, typically with Realism trumping Romanticism. Bernard Shaw's Arms and the Man continues the tradition, but hardly predictably. If Shaw were a mediocre playwright, this would be a play where realists like Bluntschli and Louka confront, mock, and expose romantics like Raina and Sergius. But Shaw is a world-class playwright, so things aren't so simple.
Raina is a romantic, but from the beginning she has her doubts:
"It proves that all our ideas were real after all. [...] Our ideas of what Sergius would do. Our patriotism. Our heroic ideals. I sometimes used to doubt whether they were anything but dreams. [...] it came into my head just as he was holding me in his arms and looking into my eyes, that perhaps we only had our heroic ideas because we are so fond of reading Byron and Pushkin [...] Real life is seldom like that! [...] I doubted him: I wondered whether all his heroic qualities and his soldiership might not prove mere imagination when he went into a real battle."
Raina is encouraged by the story of Sergius' heroism because she needs to reinforce her faith against her strong doubts. She's a romantic (she wants to believe), but she's already questioning. And yes, Bluntschli does seem to set her straight, to shatter her illusions and tell her the truth about war. And yet it is precisely Raina's romanticism which largely inspires her to save Bluntschli in the first place. Bluntschli and Raina's confrontation is much more than just a Realist setting a Romantic straight.
Sergius, too, has his romantic, heroic ideals. Bluntchli the realist laughs at Sergius' cavalry charge ("We did laugh [...] Of all the fools ever let loose on a field of battle, that man must be the very maddest") and mocks his challenge to a duel ("Oh, thank you: thats a cavalry man's proposal. I'm in the artillery; and I have the choice of weapons. If I go, I shall take a machine gun."). But when we first meet him on stage, Sergius has already been disillusioned by the military establishment's reaction to his charge. Furthermore, Sergius' romantic life suggests a man that has always been in conflict with himself and his ideals. Sergius is a cad: he's engaged to Raina and uses the highest Romantic language with her, but he's also trying to seduce Louka (Raina and Sergius each put on an act for each other: I rather think if they were authentic with each other, they might actually hit it off). Sergius's seduction of Louka is hilarious: he steps back and forth from rakishly seducing of the maid and aristocratically defending the honor of the mistress. He's not a cynical hypocrite: I think he partly believes the romantic ideal even as it chafes at him and he abandons it.
Arms and the Man is not an anti-war play. Bluntschli is the hero, and he's a veteran mercenary soldier (in the artillery) that is good at and enjoys war. What the play does, however, is attempt to shatter patriotic, idealistic illusions about war. Sergius' aristocratic view of war is treated as a farce (particularly in the form of his cavalry charge of an artillery, thinking he was heroic but succeeding through luck). Bluntschli, the "chocolate cream soldier," doesn't really care who wins or loses the war. he's a "professional soldier," and while brave, he also will avoid a fight if he can, and talks about the soldier's primary desire and efforts to keep himself alive. He treats war realistically, without ideals of honor or courage or patriotism. Bluntschli tells the story of a soldier shot and burned alive rather in a matter-of-fact fashion (it is Sergius who responds "And how ridiculous! Oh, war! war! The dream of patriots and heroes! A fraud, Bluntschli. A hollow sham, like love").
In this play, Shaw does not reject a particular war or war in general. I'm not even sure he really challenges militarism or military values. But Shaw does mock ideals about heroism and warfare. Shaw won't let you leave the theater without challenging any ideas about heroism, honor, courage, or patriotism as unassailable virtues undergirding the institution of war.