It's very much akin to the BBC's notorious 1992 Orson Welles-ish prank Ghostwatch (which I highly recommend, by the way). However, whilst that was "fake" live TV, this is inherently cinematic, and works better on the big screen, even though it is also "fake TV" presented as a documentary (the commercial break footage is one reason to see it in the cinema if possible, plus the demented ending).

More of my thoughts here, if you're interested. Great article. :)

Film Review — Late Night with the Devil | Simon Dillon Cinema (medium.com)