Did contemporary art and music come together for the first time in New York? The holy (or unholy -- if you're not a Velvet Underground fan) union can be traced back to, where else, Andy Warhol's Factory scene. So why is the Sympathy for the Devil: Art and Rock and Roll Since 1967 exhibit being housed all the way in Chicago? The NY Times takes a look at the Museum of Contemporary Art (Chicago) show,......