Surprisingly, there are very few episodes of Star Trek where the characters seem to be deliberately engaged in specific interests of the times they are living in. "The Omega Directive" is an exception because it unexpectedly gives our crew the chance to examine their responsibilities to something of great importance to both Starfleet and the Borg Collective.
On the surface, and if you want to take it simply as that, both Janeway and Seven find themselves horribly intrigued by a phenomenon everyone's been looking for. It's an episode that reminds you that Janeway's background is in science, and that the Borg aren't just interested in assimilating unsuspecting species, but advancing knowledge and striving for perfection. Both characters find themselves in unusual circumstances trying to justify what turns out for both of them to be rash pursuits. It's not often that Star Trek does this kind of thing without a villainous presence in the story. If you want, think of this as a more pure version of "Equinox" from later in the series, or even the ideal of maintaining ideals and what the cost can sometimes be, as the show was essentially about from the very start.
So it's a good one to see on a number of levels, maybe not essential exactly, because a lot of it is a little more abstract and random than it really needs to be, but that was another line the show was always straddling. If you must, think of "The Omega Directive" as a really good shot at the best possible storytelling for the series.
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Memory Alpha summary.