I think it's gross because fishes have faces. But the general idea of eating living sea animals is fairly un-alarming to me. I'm Korean, and my father has eaten Sannakji (live octopus). I don't think he's retarded.
I think that's different, the freshness of the Sannakji gives it a wonderful and unique taste that even exceeds the best Tako Sushi you can find, if it wasn't that fresh it wouldn't be nearly as good. Just like you wouldn't want to eat dead Oysters, it just wouldn't be the same as the fresh flavour fades very quickly upon death.
But with this dish, the part you eat is cooked, the fact that the head's still alive would add nothing to the flavour of the fish. Plus, the head is the best part of these fish (especially the eyes...yummmm), but being a fresh water fish it's probably not a good idea to eat the head raw because of parasites. So they're basically taking away the best part of the dish...just for the show. And that's wrong whether you're into animal rights or not, it's a crime against the culinary arts.
If they want to eat this thing, that's their right, but, personally, I want the head cooked and the eyes bulging out of the head. (Now I'm hungry