Hmm, I stand corrected. I guess the wikipedia entry listing all annual performers at Montreux was incomplete, because according to setlist.fm, this concert did indeed happen, and matches the setlist on the DVD:
The actual performance of Montreux 2004 pales in comparison to Montreux 2001. I dunno about the video, but there was an audio of the '01 set around a few years ago called “Paradigm”. Apparently it was culled from an actual broadcast of the event and is soundboard quality. Although the band was down to one horn player (the dynamic Scott Taylor on woodwinds), the truly smoldering set left the Montreux audience in embers.
A few of the band members (Clip, Danny, etc) went down on record as saying it was one of the best live sets they’d ever participated in. I have to agree its one of my favorite audios. When I saw the officially released set from '04 it was like they phoned it in, very flat in my opinion compared to a few years earlier.