Image: UbisoftOfficial screenshot from Ubisoft.
Shall We Dance? is the story achievement for completing Memory Sequence 9 of Assassin's Creed Syndicate. It is the reward for finishing the final main sequence, set around a grand event at Buckingham Palace where the twins confront Crawford Starrick.
Play the main memories of Sequence 9 through to the end. Optional objectives do not matter for this one; only the 100% sync achievement, Mentor, asks for those.