They have two sets of equipment.  They have something for doing TV shows, a smaller rack of gear that can go on planes (they rent drums if I remember correctly), and so for Conan I would guess that is what they brought and left their gear here for the show.  So yes, the gear and band quite possibly were separated.  
 
 I know in my area that we had hellacious winds and rain well into the evening from the hurricane.  I don't know if NYC or National was closed, delayed or the like from the storm but could well be.  I have sat in many an airport for long periods because of the weather.
 
 I think Conan is 4-5 pm for the taping.