Art and Music, are there obvious connections like there were in the past?

Nope.

For starters, today's world is much wider. In the late 19th century (to follow on your example) the Western art scene was centered in Paris, maybe you could add a few more European cities, and that was it. Therefore, the connection between artists was very close and personal. If you read the stories about Alma Mahler's friend circle, it is a who's who in almost every conceivable discipline (music, plastic arts, architecture, etc.)

That doesn't mean there wasn't art in other places, but it was either isolated from the mainstream or sort of a provincial imitation of the large art capitals.

Nowadays when there's no clear physical center for any art, and artists work physically isolated (I hope you agree that seeing people on tv or over the web is not the same as dining together) it's much harder to speak of connections between disciplines, or coherent movements.

Plus the prevalent modern mentality is a bland "anything goes" open mindness -so the 19th/early 20th century idea of Manifestos intended to shape the direction of an art movement sounds like elitism (I disagree but that's the way things are)

Not sure what you mean by connection and that they went hand in hand. Debussy and Monet practiced their art around the same time period. Some critics who romanticized the art of both men came up with this comparison. Debussy did not agree with the critics that called his music impressionism.

So to answer your question, have any thinkers compared any forms of music within the last twenty years with a form of visual art, I believe the answer is no. Please correct me if I am wrong.

Music is one of the arts

Picasso = Schoenberg

Damien Hurst=Andrew Lloyd-Webber

John Adams=a new coat of paint on my garden shed