What do the two have to do with each other? Why did Arcade Fire choose Black Orpheus and not another film? Are there specific themes in the film that speak to the message the band is trying to convey with their album?
Short answer: Several of the songs on the album directly reference the Orpheus myth or have something to do with death and the afterlife. Black Orpheus is the best filmed depiction of the Orpheus myth with the Palme D'Or award for Best Film and Oscar for Best Foreign Film. Most importantly, it has a very visually arresting style, perfect for a music video.
Long answer: In the Orpheus myth, a wonderful singer's young wife, Eurydice, is bitten by a snake shortly after their wedding and dies. Orpheus travels to the underworld and uses his music to convince Hades to let him bring Eurydice back. Hades agrees, but only on the condition that Orpheus doesn't look back and see her until they are both out of the underworld. He doesn't manage it, and loses her again.
Time has an article with an explanation of exactly how the Arcade Fire songs relate: