When hardcore films were illegal there were still labs that would process and print such illegal works.
Wear a mask and the murderer is an unknown. Even todays Islamofascists making snuff recruting videos mask their identities.
People involved talk. They give up associates without hesitation to avoid prison, especially the molestors, who know what to expect. They get caught at other illegal activities, and spill the beans to make deals.
I'm not saying that something won't eventually turn up, but don't you think that by now something would have?
The Islamokazis wore masks, true; but some of them (in the Dan Pearl video) were nonetheless identified later. We could expect the FBI to use all the means at its disposal to identify anyone it thought might have been involved in a snuff film if one were to turn up. I'm not so sure that those who might make one would be inclined to take the chance, especially since, once you sell such a thing, you have no way of knowing where it'll end up. It's probably a big reason why none have been found yet.