I"n the 1840s, Adolphe Sax revolutionized music with a new instrumen.... ... Somewhere between brass and woodwind, his saxophone was designed for symphonic playing. But when it came to orchestras, the saxophone never quite stuck, mostly appearing as a novelty. ... These days, the saxophone is a favorite chamber and solo instrument of classical composers the world over — and Chicago is a leading crucible of that repertoire, thanks to an influential studio at Northwestern University. ... But — and this is a capital “B” but — for all that sax-y goodness, it remains rare to hear a concerto for the instrument, backed by a whole orchestra. ... Luckily, Chicago Sinfonietta has made an Olympic sport of high-jumping over classical convention for 35 years, and didn’t bat an eye in engaging ~Nois saxophonist Julian Velasco as a soloist for its season opener on Saturday and Monday. ... Roberto Sierra’s Concerto for Saxophones and Orchestra proved a perfect vehicle for Velasco to toot both horns. (Literally: The concerto requires the soloist to swap between soprano and tenor saxophones.) When he wrote it 20 years ago, Sierra blocked out sections for jazz über-virtuoso James Carter, the piece’s dedicatee, to improvise freely. Carter’s improvisational DNA is braided throughout the concerto, as it was in Velasco’s performance at Symphony Center on Monday — ozone-scraping altissimos, mouthpiece pops and blistering multiphonics. ... Music director Mei-Ann Chen and the Sinfonietta landed one of their most sensitive supporting performances in recent memory in Sierra’s concerto. ... But there were further heights still to come, like Chen and Sinfonietta’s crisp, striding account of Ottorino Respighi’s “Pines of Rome.” Chen, who tends to fire on all cylinders early on and stay there in extroverted rep, reined in the majestic final movement so the orchestra didn’t fully crest until the piece’s end. The payoff was sublime, as were inner-movement solos by principal clarinetist Leslie Grimm and English hornist June Matayoshi. ... The Sinfonietta’s season opener not only marked its 35th season but the beginning of its first without Gray, and the first time it had performed as an ensemble since his death. ... What else is there to say but this: The Chicago Sinfonietta loved Terrance Gray. And how we love our Sinfonietta."