I also have a VHS copy of each (MR, R&J and SB) ... and, on second thought, I have 2 VHS copies of Moulin Rouge, not including the copy from PPV which would bring the total to 3.
Yes, the House of Iona is basically Baz & Catherine's house and their creative team's studio combined into one! It's located in Sydney, Australia.
It does take a long time to get through the fourth disc. I didn't even get to it all in one sitting! There's really a lot of great content. I definitely do recommend it. I think it's actually less expensive than buying all three of his movies separately, and, you get the amazing fourth disc.
Yup, Baz directed it. Apparently Nicole told Chanel that if Baz didn't do it, then she wouldn't sign the contract with Chanel to be their "new face".
It would have been nice to see Ewan in it, I agree, but then it would be too Moulin Rouge! I guess (even though I love MR and Ewan). I love the Moulin Rouge!-style cinematography and look and everything, and the gorgeous music ("Clair de lune" is a favourite of mine) and the lovely and sad Roman Holiday-ish storyline.