This was aired on MSG Network, a local network for New York sports, so I figured it was probably a local Emmy (like when your local news talks about winning some large number of Emmys).

Indeed, that documentary won in the "Sports: Documentary" category in the 2014 New York Emmys ceremony.

See this list of the winners (note: PDF): https://www.nyemmys.org/media/files/files/7c2ad17b/57th_NY_E...