Not many stage musicals make it onto DVD because of the complexities of filming involved. It either means having to make a full-scale film musical (possibly costing over a hundred million dollars) or trying to find ways to film on stage.
The latter isn't easy because, for example, the colour balance used in stage lighting is totally different to that used in film lighting, meaning that the original lighting has to be replaced (at great expense) by more suitable lighting.
Then there are problems with camera positions and angles. A single song in a full film musical might involve over a hundred different camera shots, as the image on screen switches between long shots, group shots, facial close-ups, over-the-shoulder shots, etc. To get something from a stage musical which will look equally good on a small screen means having lots of cameras crammed into a small space on the stage, all trying to stay out of each others shots, and dozens, or even hundreds, of retakes.
So it's unsurprising that nobody's yet come up with the money to pay for all that (plus, of course, the film rights, which won't come cheap), so it looks like you'll have to make do with the CD (or MP3) album for now.
Sorry!