One of my favourite aspects of Yelena as a protagonist is how openly she craves human connections.
Like, I know that this is literally the main theme of the movie and the driving force behind her character arc ("Daddy, I am so alone"), but I think it would have been easy to write her as the typical closed-off badass who acts like she doesn't need anyone and who has to learns her lesson by the end.
But she isn't like that at all! John is like that, for instance. Ava, arguably, is too. But Yelena spends so much of the movie trying to vent to people! The film literally opens with her ranting about how lonely she is to a security guard, and yeah, sure, the scene is played for laughs, but it's still part of character. She wants someone to talk to! She is the one who reaches out to Alexei after not talking for a whole year. She acts cagey with John and Ava in the vault (she is still a professional assassin after all), and yet she is the first one to properly open communication and suggest that they should work together to survive. She is the first one to create that connection between the three of them.
And Bob! Rewatching the film, it's actually wild to see how open and honest she is with him right off the bat (or at least as soon as she decides that he is not a threat). As soon as Bob alludes to his own issues, Yelena very quickly shares her pain and loneliness with him. ("I get it, I do. This darkness can feel pretty enticing.") And sure, she doesn't really give him good advice then, but you can tell that she is actually pleased to share some of her burden with someone who could understand her. That's why their connection feels so real and earned.
I love this part of her character. First of all, there's something very fun about a deadly assassin desperately and awkwardly trying to make friends; that's very endearing. And second of all, it makes her role as a protagonist and as a leader much more engaging, in my opinion. She is the glue of the group, the one bringing them together (Alexei is too, actually, but that's a whole other post to discuss this).
Yelena is not a closed-off badass who has to be dragged kicking and screaming into the found family. She is not a character who thinks she is better off alone and who has to learn a lesson about friendship and community by the end of the story. She wants those connections, but she thinks that she can't have them because of the life she had. And her story is not only about realising that she actually can have those connections, but also that there are people out there who feel the same way, people who can understand her just as she can understand them.
To me, the main message of the film is: "You will find your people. You will find your tribe. Maybe you've been looking for a long time, and maybe you feel like it will never happen for you, but you will find them."
