I call bullshit. Jay-Z is a hustler. He positioned it as "art" in order to show that he has a level of sophistication involved and that "Picasso Baby" exemplifies this newfound knowledge to any critiques the elite NYC white society may hold against him (if you ain't ever been to NYC and saw these rich white people who buy art from the Upper East Side stick their noses up at you when they think they're better than you, then I don't kow what you know.) Basically, it's like "Jay-Z" knows performance art.
On a hustler level, the dude was shooting a music video and essentially used the gallery owners for his project. They probably liked it for the publicity.
It's all marketing bullshit.