ARCropolis is required.
The Tale of the Bamboo Cutter, the japanese folk lore story where she originates from, is briefly mentioned in Persona 5 during one of the classroom questions. "Kaguya" and "Kaguya Picaro" is also the name of a Persona with the Moon arcana. So Kaguya is, by extension, connected to Joker who's connected to Smash.
ARCropolois is mandatory. Unzip and copy all the subfolders of "Reimu (ZSS c01)" and put them in atmosphere > contents > 01006A800016E000 > romfs > arc on your SD Card. After that, it'll automatically be in your game the next time you boot up Smash. ultimate > mods > Reimu ZSS is the recommend option however due to ARCadia support, so it's better if you use this. But both work regardless.