I think we finally have the explanation of Threat of Joy video clip.
I don't know if anyone has already noticed it but I came across a recent interview with Julian at Oxford Union and was talking about Oblivious at Coachella. I may have misunderstood but I think that he said they had planned the video they broadcast in Coachella to be the original music video of Oblivious.
This would give meaning to the Threat of joy Music Video. It opens with the stop of the song Oblivious and the footage they are looking for would actually be the originally planned clip. I think this idea is supported by the fact that in the interview at Oxford Union Julian says: "my stepdad at the time say don't put this out, they gonna come for you". That’s why the footage was stolen and was researched by everyone in Threat of Joy.
Furthermore this will give meaning to the first message at the begining of Threat of Joy Music video which explains that they cannot present the video clip of Oblivious.