Perhaps someone can clear it up a bit better for all of us, but as far as I know, MFN has the rights to Blackwater Park, Deliverance and Damnation. Candlelight has the rights to Orchid, Morningrise and My Arms, Your Hearse. Still Life I believe is Peaceville. I think the main stipulation is that Music For Nations is the party releasing the album, and thus, the one collecting the profits. If songs from My Arms, Your Hearse were played and recorded, and of course sold, the profits would still go to MFN, and not Candlelight.
The [two] labels probably could have contacted one another, agreed upon fees and royalties, but I just don't think that Candlelight would've been able to go along with it. My guess is that with the cost of producing the DVD, MFN would expect Candlelight to invest in the project, rather than just passively sit back and collect licensing fees. It's likely that MFN never considered a dialogue with Candlelight for this very reason.
Sadly, Opeth couldn't afford to finance all of the processes involved in making and distributing a DVD, so they were left with little choice but to rely on one of their labels, and play by their rules. While I'd love to see them perform all songs on all albums in a 18 DVD set, with 46 hours of bonus behind the scenes footage, I'll accept what is being produced currently.