Even if Louis Theroux had asked more probing questions, or been more aggressive, would that even been left in the program in the edit? It's one thing to say Louis must've known Savile's reputation, he clearly heard the rumours, but he also must've known anything that anything that aggressively challenged him on it would never be broadcast. He's just about the first person to say to Savile's face on camera are you a peadophile, in that exchange in the van at the end where Savile ends up saying "No worries, take a few quid off you too, take a few quid off anyone" and I reckon Theroux knew that wasn't an idle threat. Likewise that bit with the address lying around, then all the talk of secrets and omerta afterwards, that's proper intimidation. Theroux was a young guy and that was his first show, it was marketed as a bit of a knockabout thing that "weird weekend" series, with all the quirky music. They must've thought Savile would've been fine for this format, being an eccentric and whatever, but that show was really dark and in hindsight you can hardly watch it.
I remember watching it as a kid too with my parents and thinking he was a freak, I don't remember him from the 70's it was before my time. Jimmy Savile really just seemed to hate having theroux around him, trying his hardest not to be out of character. He had the all the superficial charisma of any functioning sociopath, but you can see in bits of that documentary how he couldn't deal with the format of having someone following him about. Wasn't there a bit where Savile was whinging that Theroux wasn't asking him inane questions, stuff he was used to getting?
whenever I watch him now I just look at him as an absolutely perfect case study in being a proper evil sociopath.
EDIT: also, I remember in that episode there was the bit where they left the camera running, and showed just how much of a wanker he was when he thought he was off camera. I think that's interesting, my pet theory is that he was coming out with that kind of shit all the time off camera and they wanted to get a bit of it once they started to realise what type of guy he was. I'd love to see all the unedited raw footage they got from that Theroux doc I bet there's loads of incriminating stuff, I wonder if it still exists?