The Justice Department is considering legal changes to combat domestic anti-government extremists.
Finicum's relatives say he wasn't armed at the time of his death.
The video shows Finicum exiting a vehicle with his hands raised, before he reaches in his jacket for something.
A few holdouts remain despite pleas from their jailed leader, Ammon Bundy, to stand down.
His statement came a day after his arrest and the death of his supporter, LaVoy Finicum.
Militia leaders Ammon and Ryan Bundy were arrested on Tuesday night.
Despite Bundy's arrest, protesters are still occupying the remote Malheur National Wildlife Refuge in eastern Oregon.
The Malheur militants seem more interested in winning over the media than firing on the Feds.
The latest call to arms appears to have failed to resonate with like-minded groups.
Property rights advocates need to find ranchers more appealing than the Bundys or the Hammonds.
The occupation of the Malheur National Wildlife Refuge is the latest showdown between federal law enforcement officers and gun-toting militants.
Pro-gun bullies hate peaceful protests because they argue that guns are needed to enact change.