This unclassifiable documentary continually surprises you at every turn. “Rolling Thunder Revue: A Bob Dylan Story by Martin Scorsese” highlights Dylan and company’s troubadour-like 1975 tour, which included violinist Scarlet Rivera and guitarist Mick Ronson, as they played gigs across America. The venues were smaller, barely any money was made, but in a country torn by Watergate, a never-ending war and the end of flower power, the healing power of music and camaraderie was needed not just for audiences but for the musicians themselves.