There is no gore in the film, however there is intense violence throughout the "Smooth Criminal" part of "Moonwalker".
In the club, Michael Jackson shoots the goons to escape the club. One sneaks up behind him with a knife, and is shot (He dissipates into a police outline), one is beaten, and one is apparently shot by someone other than Michael.
Katie (Kellie Parker) is kidnapped and thrown around roughly at the end of the film, which includes having her hair pulled, and being knocked in the head.
There is a fight at the end, where Michael Jackson is beaten (there is no gore) with a kick to the stomach. Several things are blown up and shot at.
When Michael turns into a robot, most of the violence turns to screaming, yelling, and guns. When he turned into a car, he ran away.