They already did, though it is impossible to find now adays. It's called "This is My Yard", and it goes though his early WCW days to his time as the Underbiker. It was actually a very good DVD, and I'm sorry I got rid of it.
It's ridiculously rare like a few of the late 2001, early 2002 releases. It's a decent DVD for that era (I found it for $10), but it goes for $30 on Amazon Marketplace or Half.com, and can be just as much on auction at eBay. Not worth it for that price, but if you can find it used for $10 or less, it's worth it.
Speaking of rarer DVDs, I found the two-disc version of the Ultimate Warrior DVD at my local Gamestop for $2.