New jazz rooms are opening all over the city these days, but the Pocket comes with a strong pedigree: It’s spearheaded by a team of veteran bookers and managers who spent years working at the Blue Note and the now-closed Jazz Standard. Doors have been open for a few weeks, but this week the Pocket throws itself a proper inaugural bash featuring a rare local appearance from Wynton Marsalis and the Jazz at Lincoln Center Orchestra away from their Upper West Side home.