The proposition put forward is that Persia had asked Argos to put as much pressure on in the Peloponnese as possible for their interests. The Macedonians kings, claimed their history to the city of Argos, and as Macedonia was under Persian occupancy at the time, the Persians had dealings with the city of Argos directly. The city of Argos knew that a message of some kind would be coming from Athens to Sparta for aid, the Persians also knew of it when they landed at Marathon. Argos had spies on the mountain range that could see which route Pheidippides took to get to Sparta. Then they lay in wait for his inevitable return.
On his return an actor playing the part of Pan came out from behind a rock and bellowed down to the Athenian, by name. In the presence of Pan, Pheidippides dared not advance any further. The message was given, we can assume it was the greatest part that actor ever played. After the message the thankful runner was allowed to be on his way.
If trying all this effort to alter the outcome of the war, why not just have the messenger killed and be done with it? Besides the fact that killing a messenger was seen as a sacrilege in the eyes of the gods and a curse put on the perpetrators, it would not lead to Athens surrendering to the Persians.
So how would that message supposedly lead to the surrender of Athens to Persia?
To start with we have to look at what he reportedly said. Regarding the city of Athens he said 'ask for what reason they had no care of him (Pan), though he was well disposed to the Athenians and had been serviceable to them on many occasions before that time, and would be so also yet again.' [1]
The meaning of the message is strictly between the city of Athens and Pan; Pan who represents fear. Fear is what the Persians currently represented, Athens was a city in the grips of massive amount of fear. No real help from Sparta, the city verged on the abyss of being annihilated. Why risk being engulfed by the rampaging Persians and loosing out to their greatest fears? Why not be friends with the Persians, and give in to the fear?
This is the real psychological message of Pan; the god of fear is asking Athens not to resist the oncoming inevitable swam that now had landed on their very doorstop, but to surrender to Persia and just give in to the fear and not to resist.
Once the message was delivered to Athens, we would have to assume the forceful personality of Miltiades or the polemarch Kallimachus lead the charge of overcoming the message and dulling its impact.
This is only one theory a hypothetical of what really happened. Some have proposed that the sighting of Pan was actually seen on the way towards Sparta than the trip back to Athens, with a few adjustments the same hypothetical can be made.