It's sort of meant as a battle cry for the Legion. The meaning behind it though, is that you should never be afraid to die for what you believe in, because if you die silently, without protest, then who's going to be there to carry your story on and make sure you *didn't* die for nothing? Since BVB's fans are known as "The Army", it makes sense that they would come up with a song so fitting as a battle cry *for* that army (since this is what I see this song as being; a battle cry for the fans). As for the costumes, yes, I assume Andy (being the lead singer) had a say in it, but I'm sure the other four boys also had a say!
This song's video is actually meant as a trailer for the movie "Legion of Black" and the boys (of the band) are supposed to be the leaders of the "Wild Ones". The girl in the movie is an army of the Legion of Black, and the other person she lays down is a fallen soldier, hence this the song's lines.