Perhaps they consider it an extension of the admonition not to discuss what goes on inside the temple anywhere but in the temple itself. Or perhaps it's because the footage would have been obtained in a manner that is clearly against their regulations, which they would consider a reason not to watch it. Whatever their individual reasons, I'm not surprised they avoid watching it.
What I would watch if I were they is the footage of government officials addressing the Q15. Even if the footage were obtained in an illicit manner, I would want to know of anything of questionable propriety involving church leaders who were living off my tithing dollars.