I would check your local listings instead of the PBS site. It aired in South Florida on December 23rd (like all major markets), but I missed it. Turns out it is airing again on January 7th... but the PBS site doesn't state this, only my local listings does. This has happened to me before with PBS not listing all air dates.
Check your local listings for the airing of INDEPENDENT LENS (not GREY GARDENS) and then check the episode info for each listing. You'll see that GREY GARDENS: FROM EAST HAMPTON TO BROADWAY has another airing after its 'first' airing. I'm sure most PBS stations will be airing it again on January 7th, especially those that originally aired it on December 23rd.