I know they filmed Visions in Blue. Also I believe they filmed the whole thing because there is at least one concert for all of their tours. The footage is hidden somewhere but they wanted to show the best of the best.
I would have thought the whole show was filmed as I couldn't see them just filming certain songs. Hopefully it'll be remastered and released one day. I don't recall any other tours being filmed though, apart from the St Albans footage from the Vienna tour? There are TV appearances on bootleg from Vienna, Rage In Eden and Monument but very sadly I've never seen anything from the Set Movements tour anywhere, other than brief clips from Design Matters.