The performance also had a surprise appearance from Teyana Taylor.
The two-part, four-hour film is set to premiere in January 2022.
The rumored project is said to be delayed over the coronavirus outbreak.
"I'm so excited to share this new era with you."
The 53-year-old legend also celebrates the 30th anniversary of her ground-breaking album ‘Rhythm Nation 1814’ during Las Vegas residency.
A piece by the New York Times says that an estimated 500,000 recordings were destroyed.
Jackson said she believes Michael's legacy "will continue."