New this week: ‘Power of the Dog,’ ‘Annie’ live and Kenny G

This week’s new entertainment releases include a new album from saxophone legend Kenny G, a documentary about the 12 young soccer players and their coach trapped in a flooded Thailand cave, and Jane Campion makes a triumphant return to filmmaking in “The Power of the Dog.” On the small screen, “Zoey’s Extraordinary Playlist” may have wrapped its two-season NBC run, but there’s another chapter for the musical dramady starring Jane Levy: In Wednesday’s “Zoey’s Extraordinary Christmas,” the title character is determined that her family get the memorable Christmas that her now-ill father always provided. And the sun will come out Thursday for NBC’s live production of the hit Broadway musical “Annie.”