I remember doing a mail trade with someone on rec.music.industrial for these long ago. After being investigated for the "Head like a hole" video (some cop thought it was a snuff film) they were understandably skittish about releasing the Broken film which was much much more violent. Broken is one of my favorite all-time albums, but I feel no need to see the videos again, they're that disturbing.
You can find it if you snoop around online, not hard to find at all. Its hard to concieve of a network of VHS pirates spreading this almost entirely by word of mouth and creating a cult phenonmenon big enough to interest me as a high school freshman living hours away from anything that could be called a "scene." The early 90s were a crazy time.
a little info here:
IMDB