They attach an RGB strip slightly above the keys on top of the keyboard (or for a grand piano/upright, they attach it probably somewhere on the key case).

Rousseau has been teaching a lot of other pianists how to do the same setup, so you can kind of see how its done in this other great piano youtuber, funguypiano: https://www.youtube.com/watch?v=PyQj7T6uLII

Then you obviously need some sort of bird's eye camera so that you can synchronize it with Synthesia.

Then you go into After Effects and add all the pretty colors and particle effects.

Sometimes they get fancy and add some RGB programming so that colors are changed on a beat by beat basis.