It doesn't matter what their "intention" is. What matters is if they violated some local ordinance or statute. There isn't a statute or ordinance against "dancing" but rather against disruption or organized protest, and it's not statute, it's precedent. I cannot cite the docket that is applicable because I haven't been able to find it.
The problem is that it doesn't appear their behavior is disruptive whatsoever. It isn't damaging the memorial or impeding people's ability to use the building. So what exactly should they be arrested for? The fact that they are choosing to excercise a right purely for its own sake is irrelevant. The entire thing is dubious at best.