Having never seen Captain EO, I can't comment. I would love to, though. However, I think although Michael has passed away, maybe they did bring Captain EO back for nostalgia reasons and based on popular demand. It is extremely popular, from what I've heard (because, again, I've not seen it, so I can't comment).
Also, I have to agree with others, "This is It" is definitely worth a watch. Many of my friends changed their opinions on him after seeing it.