Back when I was a prosecutor, and investigator said something to me that stuck...
"The sins of the devil are rarely witnessed by angels."
It was a line he often used in front of a jury to explain why the drug task force used controlled informants to make drug buys. By controlled, I mean wired with camera and microphone, recorded buy money, etc.
As to the OP, let me say this. The story used by the agent was that he was filming a documentary. IN other words, he planned to publish what he saw, what he recorded, and what the Bundys did in his presence. It wasn't like he went in pretending to be a lawyer or a priest and giving the Bundys some sense that there was confidentiality in their conversations. Was it dishonest? Yes. Was it unethical? Maybe. Is it ilegal? Not in the least.