Sia didn't need to make the message of this video because it was clear, with the rainbow paint on the dancer's face, the tears, the piles of still bodies, and the "We Are Your Children" hashtag. It captures the emotions surrounding this horrible tragedy very well, and nothing different was needed.
Sia's new video is her own piece of art, and she's allowed to make it however she wants. Although she knows it's about the Orlando massacre, she doesn't need to put it out there in everybody's face. Word of mouth will get around, and she'll do interviews about the video and explain her reasoning. Soon enough people will know it's about the massacre without it being super obvious from the video.
Modern day artists present their art whether it is in the form of paintings, drawing, sculptures, music or some other form, and give us the opportunity to interpret them in our own way. Most people who have seen or herd about the Orlando massacre may or may not see the parallel in the music video. The artist does not necessarily have to publicize the connection to a significant event or issue unless they are making a direct tribute to the said event or issue.
No, Sia should not have made it more obvious. Art is meant to be interpreted by the individual and should not be spelled out by the artist. We should accept her vision, however she saw fit. By making a subject too obvious, she would not be the artist we have known her to be.