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:
The first of the two Arcade Fire songs that directly reference the myth, "Awful Sound (Oh Eurydice)," doesn't have much within the lyrics to draw a parallel to the original story. The words, presumably from Orpheus' perspective, are about love and end with the lover being gone, but don't specifically reference the details of Orpheus' particular love.
On the next song on the album, however, the reference is much more clear: "Hey, Orpheus! / I'm behind you / Don't turn around / I can find you" begins the song "It's Never Over (Oh Orpheus)." The album also contains a song called "Afterlife," which doesn’t mention the myth but may be a nod to Hades.