I can honestly say I don't know what to make of this.
Background info: O'Keefe was arrested outside the office of Sen. Mary Landrieu in January 2010 for attempting to infiltrate it, with accomplices dressed as phone-company guys. At first, it seemed like he was there to tap her phones. Nobody could prove it, they claimed they were there to see how Landrieu's staff responded if the phones didn't work, and the hubbub died down. That's what O'Keefe parodies, here, in the arrest scene outside the fake Landrieu's office.
On the one hand, James O'Keefe has consistently seemed to want attention, and this video is ridiculous. He and Hannah Giles continued to dress up as pimp and prostitute on their post-ACORN-victory media tour. That was excessive.
On the other hand, the guy can kind of moonwalk, and moonwalking is cool. If you're a straight male, so is dancing around with babes, but probably less so if they're paid, with Breitbart money, to be there.
If you break a few big stories, why not make a music video about it? I'm not sure anyone knows the answer, for certain, because I don't think the question has ever come up before.