Dickey was convinced the film was about his "comeback." Why, exactly? I'm sure the filmmakers didn't try to mislead him. They even see them say the documentary is about crack addiction with Dicky standing right there. Yet he's surprised when he actually sees the finished product. Talk about a serious case of denial.
Dickey was scarcely capable of logical thinking by that point.
Does he actually think that this is true, or does he just keep saying to other people? In the prison sequence, I certainly don't get the impression he expects to see a film about his comeback — he knows perfectly well that he didn't have it. He simply expected that being on TV would glamorous but found that instead it revealed his true self true clearly.