There is one in progress, which I am helming. I don't post here much, but I've been active in the NYC community for 2 years. I've been working on the project for about 6 months and have filmed a substantial amount now (~35 hours guesstimate). I've written a brief summary here. You can follow my updates on Discord; message me privately for a link.
Latest update: I did not complete the documentary and have no plans to continue working on it in the near future. The 90 hours of footage that I shot is all archived for possible later use, and is partially available to the community upon request.
I believe there is some stuff about cryonics, although not all of it flattering, and there's certainly a lot said about AI, although not from a rationalist perspective. There's also a lot of interesting stuff on YouTube produced by people focused on sharing knowledge that might be lumped broadly under "education" but that's really giving short shrift to what they're doing. I don't have any handy links, though, but maybe that at least gets you looking in useful directions.
I don't think there's anything like this for broader rationality topics outside some podcasts, but maybe something like them could be made into video documentaries (which I assume is the format you're interested in) in the future.
I love documentaries, and i wonder if there are any about LessWrong topics, such as rationality/rationalists, epistemology, maybe cognitive science., etc..
Do you know any?