The Galaxy is a MacGuffin.

That sounds like what you'd get if a crime-fighting dog had a teleporter accident with a breakfast sandwich, but it's actually a plot device. And if you have issues with the name, take it up with Alfred Hitchcock; he's the guy who gets credit for naming it.

A MacGuffin is the object the protagonist pursues because there wouldn't be a story unless he pursued it. Usually the antagonist also wants the object and this leads to conflict between the two.

But to be a true MacGuffin, the object can't actually be important to the story in any meaningful way. The protagonist can't use it to solve a problem and it can't explain some unanswered question. It's simply the thing everybody wants because they want it.

According to TV Tropes, a good way to test for a MacGuffin is the following sentence: "Quickly! We must find X before they do!" If you can fill X in with basically anything, then your plot device passes the MacGuffin. Let's give it a try

• "Quickly! We must find the Galaxy before the Bug does!"
• "Quickly! We must find the superweapon before the Bug does!"
• "Quickly! We must find the briefcase of small unmarked bills before the Bug does!"
• "Quickly! We must find the Frozen Blu-ray with sing-along extras before the Bug does!"

Okay, maybe not that last one, but the Galaxy checks out as a MacGuffin. It isn't important what the Galaxy is or what it does. What matters is that the Bug wants it, the Arquillians don't want the Bug to have it, and the Men in Black are caught in the middle. This drives the plot and puts the Men in Black in conflict with the Bug.

True, Frank does mention that the Galaxy is "the best source for subatomic energy in the universe" and that if the Bug gets it you can "kiss the Arquillians goodbye." But this detail's unimportant to the story of the Men in Black. They never harness that subatomic energy for any purpose, and as our little test showed, the story would've been exactly the same with another MacGuffin in its place.

For example, "If the Bug gets that briefcase full of money, he'll hire mercenaries and you can kiss the Arquillians goodbye." See? It's the same film. The only difference would be the new ending where Jay and Kay quit their job and head to the roulette tables to bet it all on—what else?—black.

It's a Small Galaxy After All

The Galaxy is just a plot device, but the imagery of a small jewel housing an entire galaxy plays toward the film's theme that the universe is a complicated place that humans have yet to fully understand. Or even partially understand.

When Jay first hears that the Galaxy is on Orion's Belt, Zed informs him he must have heard wrong:

ZED: Junior, there are no galaxies on Orion's belt. The belt is just these three stars. Galaxies are huge. They're made up of billions of stars. You heard wrong.

Zed's right in his definition of a galaxy, but his mind is thinking on a human scale.

Frank corrects this false perspective when Kay's shaking him down. He notes,

FRANK: You humans. When are you gonna learn that size doesn't matter? Just because something's important, doesn't mean it's not very, very small.

He's right. The Galaxy's a jewel that contains an entire galaxy, and at the end of the film, we learn that our own universe is contained in a similar jewel in another universe. Give us a minute while we try to un-blow our mind.

The point is that our understanding of the universe, or in this case universes, is limited. Just like we had no idea a Galaxy could be small enough to fit inside a jewel, we have no idea just how small we are in the grander scheme of things.