I don't believe it is too expensive for them to record a live video at all. If small local artists can make a half decent looking dvd/blu ray these days (also, see Mike Portnoy's projects, most of which have a good live recording as well), so can DT. Hell, if you really want to go on a low ass budget, you can go with a bunch of gopro cameras, like Gentle Storm once did for promotional purposes.
It is more a matter of wanting to do it and the planning involved. And there is likely some/a lot of music rights related stuff in play if they want a release, because I think Roadrunner probably isn't too interested in making a big release on their label. So it obviously does take effort and time and by extent money, but in concept a ytskejam esque "bootleg" dvd in this day and age could be viable.