It’s been a while since I tried to crack open a TMBG song (the last one I really picked apart was “The End of the Tour”, and before that “See the Constellation”) but this one sounds like it’s in the same vein as “My Evil Twin” and “Where Your Eyes Don’t Go”. For my interpretation, the key line is
you, my mirror
you, my iron bars
We can read this as him talking to his prison possessions (all you own are the mirror and the iron bars). But what if he’s talking to “you, my mirror, who are also my iron bars”? What if he is talking to himself in the mirror (or talking out of the mirror to the self on the other side), in the belief that he is somehow possessed? Then his “plan” may be to be convicted and executed, because whatever-it-is won’t let him kill himself!
Now, our picture of the initial events is skewed: maybe he was committing a crime, or maybe he pulled down the window shade (a la Home Alone) to project an image that others would certainly report. As you pointed out, the allegory of the cave is that the people who see the shadows can only guess at what the true forms are. I think that allegory has another meaning: those who see the narrator on a daily basis only see his “shadow” and not his “true form”.
At that point, “Why the dancing, shouting? Why the shrieks of pain, the lovely music? Why the smell of burning autumn leaves?” can be read as (1) events that occurred in the commission of the crime, or (2) hallucinations. Combine it with “I must be silent” and you’ve got (1) A man faking a crime by screaming at high volume and burning a fake “body” to explain the lack of a victim when the police show up, or (2) a man committing a real crime in the hopes of being killed, and keeping silent about the voices in his head so that he won’t get off on an insanity defense–because if he dies, then the thing in his head also dies, and he hates it enough to die with it.
I’m not entirely sure, but like Mangetout said, sometimes their songs are what you make them (I’m thinking of “Cowtown”). This one may have a meaning, or it may be a spooky narrative that sets your brain itching. Why, indeed, the smell of burning autumn leaves?