Probably within a week or two they returned with their instruments, but not to play them—this time they were there to mime playing as the recordings from their first session were played back! The film was issued with a phonograph record to be played during projection, creating an early example of what is now called lip-synching.
The producers also added some stock clips of an audience whose formal dress and staid demeanor indicate that they were a world away from any jazz performance.
This according to “Celluloid improvisations: Woody Herman and his orchestra” by Mark Cantor (The IAJRC journal XL/1 [February 2007] pp. 22–30).