I suppose it's a common question to ask of writers of ghost stories if they actually believed in the paranormal. Folks like M.R. James, Algernon Blackwood, Charlotte Perkins Gilman, and Ambrose Bierce become maybe more authentic in the eyes of their readers if they actually believed (good) or experienced (better) a haunting or even several.
That's the point of this documentary about James. Did he or did he not actually believe in this spooky stuff he wrote?
I think, however, the question -- regardless of the curiosity of it -- is ultimately pointless.
Writers aren't supposed to be held to experience. I don't care how many times you hear the axiom "write what you know," it's all ultimately garbage. The truth, at least in my understanding, is to "write what you imagine." Absolutely, do the research. Get your facts right. Be true to your characters. All that good ol' writer stuff holds true.
But you are never limited by your experience when you write. I believe if you're doing it right, you experience what you write, not the reverse.
It's perfectly okay to pull from your experience to color your stories. That character quick from your former co-worker would indeed work great added to your protagonist's husband. That time you went to the gorge and the cops found a dead man would be excellent fodder for a murder mystery. But you are never held to the truth of the experience.
Unless you write non-fiction, and to be honest, you're still not always held to just facts. (If you don't believe me, read Annie Dillard.)
Aside from that erroneous supposition, this isn't a bad documentary. In looking into James' perception of the paranormal, it covers an area of his life that isn't often opened up in documentaries.