Video of the terminal phase (except at the impact point) cannot be recorded anyway. However, the video of the warhead splashing down in the waters or bursting in the air is always recorded. If I recall correctly, DRDO did release a short clip of an Agni-II test (recorded by an IR camera), in which the warhead was shown air-bursting.
They are not released because they may reveal critical information about the missile's functionality, such as its detonation mechanism, angle of attack (of that particular launch), altitude of the air-burst, accuracy...stuff like that.