I haven’t seen Sicario, but I would suggest that the common thread needs to be the character motivation, or the motivation of both needs to be established early unless the entire intent is to shock and punish the audience’s idea of a “happy ending” in war (or whatever the theme is). And importantly I think you have to warn your audience toward the beginning that this world
Includes the horror of unexpected and disappointing truths. If we don’t frame the theme or world with that, it can be jarring in a way that’s not enjoyable, but simply angering.

It’s a fine line to walk to buck norms and not jar the audience out of the story. I’m super eager to read what you’ve got though. Boldness very often leads to encoring stuff regardless.

I’ll give one example though of normative trends that were changed that I think was underappreciated. And that’s World War Z.

It appears on the surface like a regular “end of the world” type movie, but the escalation when you really look at it is reversed. 
Usually a big budget disaster movie starts with 1 bad guy, then they fight a dozen bad guys that are more powerful and have their first “limited encounter” with the big dog, and then it ends with the “beam of light into the sky billions of random bad guys and the hugest mega boss man” fight.

WWZ actually reversed this:
• Act 1 has the literal “global zombie hordes” and huge scale attack. 
• Act 2 brings it a little more local and it’s about a single city and then a single base and operation. 
• Act 3 is in a building with just a few dozen zombies with a potential resolution in the middle of them. 
• Then the climax is literally the main character and a single zombie.

But at each point the stakes are raised for the survival of mankind. And the final, single zombie is the ultimate test to the theory the protagonist develops during his investigation. 

As someone who loves film/story and have considered myself a filmmaker, I had a particular appreciation for that movie for how they raised the stakes and intensity specifically by scaling DOWN the fight, but changing what each conflict meant. I think it was all the more powerful because of it.

The constant need for big budget films and most fantasy-adventure narratives to scale up every battle, I think is a crutch that actually weakens its effect more often than not.