I think it's about freedom of choice, enjoying yourself in your own way and standing up against people who only want power, conformism ("acting on your best behaviour") and the messages given in the media ("one headline why believe it"), even if it means you are persecuted for those beliefs ("holding hands while the walls come tumbling down"). He is annoyed at people who lack the decisiveness and vision to do this. I think his "remorse" is about the way the world is. "Everybody wants to rule the world" could refer not only to the people who only want power, but also that if he gets the freedom and pleasure he craves, he could also feel like he rules the world.
I think it's about freedom of choice, enjoying yourself in your own way and standing up against people who only want power, conformism ("acting on your best behaviour") and the messages given in the media ("one headline why believe it"), even if it means you are persecuted for those beliefs ("holding hands while the walls come tumbling down"). He is annoyed at people who lack the decisiveness and vision to do this. I think his "remorse" is about the way the world is. "Everybody wants to rule the world" could refer not only to the people who only want power, but also that if he gets the freedom and pleasure he craves, he could also feel like he rules the world.