Interesting, but not great and some weird aspects
I thought this was interesting but not great and left a number of things poorly explained.
The story of him getting to America I thought was fairly well told, but I found it strange that it relied almost completely on dramatized action sequences and Bourdin's description of events. I don't remember any Spanish officials being interviewed at all and the real key parts of the deception started in Spain, especially being left in an office with a fax machine and a phone overnight without ANY supervision.
Where is started to lose me was the "twist" towards the end where the family became suspects. I never got to the point where I found Bourdin's belief that the family killed the boy was at all credible -- it seemed like a way to distract attention from his own weird, evil crime.
Nowhere at the beginning was there much if an exposition on the investigation of the boy's initial disappearance. Families, especially apparently low-income families, are ALWAYS the first suspects in any kind of missing child case. Given they were low income and given that they were in Texas, maybe there was some kind of dismissive attitude about his disappearance (another low-class, dope-dabbling teen runaway, etc) -- which in an of itself ought to be a documentary topic.
The family background was also kind of hazy -- the mom was old enough to be the grandmother by appearance, and the sister looked old enough to be the mom. The older male interviewed throughout the movie was a brother or uncle? And then there's the mysteriously mentioned half brother. And what kind of neighborhood, lifestyle, etc did they lead? It wasn't hard to guess hard-luck, wrong-side-of-the-tracks, but the house looked better than that.
Who was this PI? He almost seemed like a cartoon character, driving a 15 year old Coupe de Ville with his tie and suspenders. Who was he? What kind of credentials did he have? Ex-cop? Why should I take him seriously?
Then there's Bourdin -- once we realize he's a serial liar, why is there no interview with French or Interpol officials about him and his background? Why no "where is he now" kind of details on his (miraculous) transformation into a family man?
And then there's the details in the filming locations -- why was filming done in Phoenix? We were led to believe the whole thing took place in San Antonio. Alternate locations make sense for a documentary whose actual locations are unavailable, but San Antonia is still there as far as I know.
Overall the film's central "mystery" is a clever idea, but it really begs the question why the family would accept an obvious fake when it was likely that the fake would be discovered and draw more scrutiny on themselves. At this point, if they HAD killed him, they had gotten away with it and rejecting a hoax would have been a much safer idea than getting involved with a hoax and having questions asked again.