I agree that Woland definitely comes to Moscow and conveys a political message while he's here.  I wouldn't say that this is entirely his reason because I feel that this is more strongly a message from the author which is embodied in his character.  My first guess for his reason is simply boredom.  Ruling Hell for eternity might become rather dull.  Yet, I'm presuming his main function in this novel would be representing Bulgakov's views of current Russian society.