Documentaries are arguably the longest projects you can work on. While you can plan them somewhat like narratives, they have many more elements which are unplanned. In this case, Herzog is speaking about audio of two people getting killed by a bear. His firm decision was to leave that footage out of the film, and for him it was obvious, "you just don't do it"
In this day in age, shock value is everywhere, it's just an unfortunate evolution in our entertainment industry. But just because you have an opportunity for shock value, doesn't mean it will have a positive effect on your film. In this case Herzog is talking about the documentary Grizzly Man. It's about a man who literally was living out where the huge bears live, and one day, which was when he had his girlfriend with him, one of the bears finally attacked. It's not a comedy, so shock value would hold no comedic value here. But some might argue that shock value would add to the emotion of the film.
It's one of those things that will have two very different viewpoints, kind of like politics. Here is my take on what each side might reason:
-Showing everything, is including the audience in on everything, which some might argue is the duty of a documentary.
-It will pull the audience in further.
-It's immoral, disrespectful to the deceased.
-It likely will disgust certain viewers
-Instead of showing it, talk about what you're not showing, it can have the same if not more meaningful impact on the audience.
And i'd have to agree with Herzog, it's the right choice to not use it. And you can still have that unseen/heard footage have an impact by describing it instead of showing it, you can literally tell the story vocally, and good story tellers like Herzog do that to great effect.