The 12-episode series 009-1 was written so strongly that this OAV episode is a total disappointment. Instead of the usual faire (guns, boobs, spy stuff), we get a slow, action-less tale that comes off as bland instead of tragic. The main character of this episode is definitely the saxophonist, and 009-1 is barely involved.
The saxophonist is a Mary Sue, by the way - he can do anything! He's a secret double agent, plays jazz, bartends, leads a band, has a cat, works for world peace, knows all 009-1's secrets, is way cooler than everybody etc. My main problem with this Mary Sue is that he gets the drop on 009-1, who has fallen deeply in love with him for no reason. Throughout the series, 009-1 sleeps with targets, agents, bad guys, but its always part of a bigger plan. She always has a back-up plan to get herself out of the worst situation, and sex is just a means to an end. She's a stone-cold killer who dispatches death with no hesitation.
009-1 was written so differently in this episode that it makes me wonder if the writer had any experience with the series, or why this episode was greenlit in the first place. The ending [SPOILER] makes no sense - why kill himself? He had her dead to rights, all evidence of his plan was destroyed, so why kill himself (or her) at all? Why did he tell a secret agent for the Western Block his master plan, even going so far as to explain how they did it? Surely the government would take steps to stop the "jazz band" and hunt down the other members. There really is no reason.
Maybe there was a scene missing from this episode, where 009-1 reveals at the last possible second that she removed the bomb from her body and put it inside the saxophonist - that would make way more sense. It wouldn't save this episode, but at least it would be more like her character.