As a mark of respect to Steve, his producer and friend John Stainton has requested that the tape of his death be destroyed. The final decision will of course rest in the hands of his wife, Terri. In an earlier episode though, Steve did go on record as to saying that if he were to die, he would want it to be recorded. Didn't mention anything about having it shown to the world though. I would like to respect the wishes of his wife whatever it may be.
One must also consider the traumatic effects of airing his death on the millions of kids who saw him as their 'superman'.