Exit Zero Jazz Festival, ‘Private Lives,’ Penn & Teller, more

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Here is a roundup of major arts events taking place around New Jersey, through May 21.

MUSIC

• The Exit Zero Jazz Festival takes place twice a year, in the spring and in the fall. And this year’s spring edition is scheduled for May 15-17, with shows on two stages at Convention Hall, plus sets at Carney’s Main Room, Carney’s Other Room, and The…