Why do dragonflies lose all of their coloration once they die?

This is probably because the color in dragon fly wing is due to chitin crystal and which is protected by some secretion over the entire wing something like cuticle upon leaves and when dragon fly dies that secreted substance upon wing washes away when not maintained resulting in shredding off of the color from wing. Sorry I can't comment (<50 reputation) so I did answer even tho im not clear with it.

Try reading this you might find something useful maybe Insect Wing Also this journal said that while studying the wing of dragonflies they killed and kept them in lab it didnt mention that wing lost color Mechanism of the wing colouration in the dragonfly Zenithoptera lanei (Odonata: Libellulidae) and its role in intraspecific communication

So it might be possible that the video shows dragonflies after some long time maybe a week after death and body is intact because of chitin layer but wings bleached away in sun or degraded in environment.

Also wings have supply of veins so something related with continuous production might be cause of that thing too.