Unless the film was insurance.
Moore could have been astute enough to film a cover story before sending Nick to Iraq to dig up dirt. All Moore would have to do is film some kind of bogus "interview" of Nick auditioning for the film. Then if he gets killed in Iraq while doing a group hug with al Quaeda terrorists, all Moore has to do is pull out the "audition" film. It would serve as a good cover story to explain any connections that may pop up between the two of them later.
What am I missing? A gross overestimation of Michael Moore's IQ level, I know...
There is also a possibility that MMoorree filmed a NB interview with some followup film in mind, and/or that he kept that footage out of the present film because it either:
1. would have been stronger used later on
2. didn't suit his "message"
3. importance was unrealized when he cut the film
4. to conceal linkage and connected dots
5. (i ran out of foil... someone take over...)