I have not seen the documentary you mention, but I find that music from that period was the best ever in America. I still listen almost exclusively to Monk, Miles, Mingus, Blakey, Basie, Lester, et al, and cannot find anything to beat it!
I have the Ken Burns 5 disc set from that documentary. It’s amazing.
Louis Armstrong and Charlie Parker are my two favorite instrumentalists, and Duke Ellington is probably my favorite composer (though Benny Goodman and Artie Shaw are right up there). I love the early stuff, too. Sidney Bechet, Jelly Roll Morton, etc.
The only guy I can’t get into is Coltrane. There is something very dark about his music. I think it has to do with all that Hindu crap he got into.
I suggest the disc set for sure. The documentary was very good, too.