But using actors for reenactments while interviewing the real people is something those documentaries usually do.
Knowing that none of the interviewed characters die in the reenacted scenes isn't a big deal. There can still be suspense even if you know a characters makes it out alive (we know that the characters aren't in danger 90% of the time on pretty much all shows) and maybe the season will move beyond showing us the documentary. If we see the production side Sarah Paulson's character could take of the Shelby wig, go home and suddenly experience the horror she has been reenacting for real and die that way.
I wonder if they actually need the interview segments or if they just decided to use the documentary angle to squeeze in more actors, we have one Shelby and Lily Rabe and Sarah Paulson both get to play her. The interview segments are also easy to film, if Lily Rabe wasn't available for long they could have plopped her in front of a camera and filmed her two days getting enough footage for the entire season for example.