To answer this in much more detail now that the final box set physically exists, Murphy shot almost exclusively on 16mm from the late 1960s to 1999, the exception being the Super 8-shot Bloodstream (1985).
This was invariably reversal stock, for budgetary reasons, so we had access to not just the best but the only available elements - they'd been telecined for video release, but I don't think the film elements had ever been duplicated.
Unfortunately, the sole film elements of three of his better-known titles (Avalon, Death Run and Legend of a Hero) were destroyed in a fire at a storage facility - thankfully after they'd been telecined, so at least they survived in some form. With Quälen and Second Sight, we couldn't track down the 16mm originals for love nor money - there's no record of where they ended up, and all trails went cold. It also transpired that the final reel of Invitation to Hell was missing, so we had to source that from a telecine as well, although most of our presentation is 16mm-sourced 1080p. We'd also occasionally have to repair damaged footage by resorting to SD inserts (this mostly applies to the very early work on Disc One, whose 16mm materials were sometimes in very rough shape).
But, contrary to the initial announcement, the original versions of The Rite of Spring and Tristan (1999) are sourced from 16mm - it's only the re-edited DVD versions that are SD-only (of necessity, since they were assembled on SD in the first place, with new electronic titles and sometimes VFX that were easier to create digitally). Murphy also added digital VFX to the DVD version of Invitation to Hell, enhancing four shots with glowing demonic eyes, but since this is the only difference between the 16mm print and the DVD (aside from the latter's horrendous cropping and stretching to get the original 1.37:1 picture to fit a 16:9 frame, which there was no reason to preserve for posterity), we decided that the best option was to add the same glowing eyes to the 1080p master and give the viewer the upfront option to watch the film with or without them.
Murphy stopped shooting on film after the disaster that befell the initial attempt to film Skare in 2001, when a huge chunk of footage went missing in transit to the lab*. Thereafter, he either shot on SD video (Roxi, the entirely re-shot Skare, ZK3) or HD (Nekros, The Return of Alan Strange).
(*The relevant disc includes all the footage that did get processed, which turned out to be a fair bit more than Murphy's anecdotes suggested, although it's all silent because Murphy invariably post-synced his soundtracks and obviously never got to that stage. But it's very interesting to compare it with the completed 2007 version, because aside from having the same source script they're otherwise completely different - actors, locations, visual treatment, you name it.)