While the segments with Jon and Stephen talking are one-offs, the music beds and bumpers appear to be recorded each week, or at least switched out after a week. This week Jon had a different setup for his conversations with Stephen, and Monday he talked about how he and the band cobbled together this week's version of the theme. In Jake Gyllenhaal's interview tonight (Tuesday) he and Stephen talked about the challenges of recording/performing a duet when you and your partner are performing in different locations.
Logistically it does appear to be more of a challenge to get several music streams coordinated at once, at least compared to having multiple people talking at once. I watched one of my favorite bands do a live show via YouTube last week. They were five musicians in five different locations, and they opted to not have more than two members performing music at the same time.
David