There are some conspiracists that claim OBL wasn't killed by the SEALs but was whisked away, alive, by them, and is being held secretly for interrogation. (Which I don't believe.) So, for them, lack of a video or appearance by a living OBL wouldn't disprove their theory.
One other proof that I haven't seen mentioned is the shed blood. Pictures show the blood shed, and forensics can determine how much blood (and other physical matter) was left behind, and the DNA can show to whom it belonged. With enough blood and gray matter spattered about, it will be obvious that the person shot couldn't have survived.
Also, you have the eye witness residents of the compound. If there was a conspiracy to be covered up, they couldn't leave behind living witnesses.