And Nine Inch Nails too. Be interesting to know who would own the rights to any footage of the support bands.
It depends a lot on what the venue is and the contract the band has signed. Most big venues are filming the sets to go straight up on the big screens. The headline act will (almost always) have their own team doing this, and the band usually have it in their contract that they retain the footage. Festival shows are different, and the footage is sometimes the property of the organiser.......although they can't actually do much with that footage (such as make a commercial release) but also often remains the property of the acts. Again, this all forms part of the individual contract deals.
With the support acts, the filming of them is most likely done by the headline acts team, but the footage likely to remain the property of the support act, if they've negotiated that term in the contract.
The most likely scenario though is that this hasn't formed part of the contract, and the reality is probably that even though they were filmed, the footage wasn't even kept. With film being relatively quite expensive back them, I imagine it's even a possibility that the film was recorded over rather than stored.