I like to consider myself quite knowledgable of the Marx Brothers as I'm a huge fan of them, so I guess I'll try to answer your question.
In my opinion and based on the extensive reading I've done about them I'm sure Groucho was joking when he said he burned the negatives - I'm sure he didn't personally burn them, although it is most probable that this film no longer exists and hasn't for decades - so someone did the burning! No Marx Brothers fan I know of, even Paul Wesolowski, has seen Humor Risk and chances are no-one ever will.
However, other than the fact this film has only ever been seen once and not heard of again, there is no solid evidence I know of offhand to suggest that this film was definately destroyed or lost. Maybe it will be one of those cases in the next few years where it just shows up in a barn or attic, although personally I find this highly unlikely. Plus even if it does show up somewhere I guess the film won't be up to much for it's age and condition if it hasn't been looked after in the proper way.
I suppose we can all hope, but in my view it ain't happening. Maybe it's better that way anyway. (Can you imagine Groucho and Chico in a silent picture?) I read it was lousy, but as a fan I remain a little curious and wouldn't say no to watching it if it ever showed up.
