I'll just leave this here, though for few days I was gathering my thoughts after seeing the "One more time with feeling" and drafting few smart notes on this. After a pause I came to conclusion, that we are not invited to Cave's personal grief (no matter how personal the album is), but probably we have to live with new Cave from now on, as we have to live with new ourselves from time to time.
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P.S. Though I didn't like few compositional moves from the directors point, I have to say, the scale of the documentary is something I look for in every film festival I go (the scale of content, rather than form). I never get to see or hear anything like this though. Because there is only one Nick Cave and only one Warren Ellis.