The film puts the myth on screen and then argues about it. Marianne, Héloïse and Sophie read the story of Orpheus aloud together, and the scene turns into a disagreement about why he looked back.
Héloïse's answer is the one the film takes: he turned because she asked him to, and he chose the memory of her over the woman. The last act is built on that reading. Marianne sees Héloïse in a doorway, turned towards her, and the painting is what she leaves with.
Céline Sciamma has discussed the myth as the film's organising idea rather than as a reference, which is why it is filed HIGH: take it out and the ending has no shape.