Pennebaker strikes me as a guy who struck when the iron was hot, and the results vary.
He's not a pioneer to me. A shaky camera makes him Dogme 95?

As for Lady Sings the Blues, Kael was right, and she loved the movie. A lack of facts doesn't dimimish it's beauty one bit.
I didn't know much about Billie Holiday before seeing it and I feel like I got a good idea of who she was.