During rehearsals he makes sure everything sounds the way it should, and that the band members do what they're supposed to.
He kinda supervises the band as well as Ayu, but moreso the band... like in CDL06-07 making of, he showed Miyazaki Yusuke how to play the end of NWTS [I think] and people were like: "It's the same piano, but the sound is completely different.."~
So basically, he makes sure that everything's the best it can be in terms of sound quality and anything related to the background music that the band creates.
http://en.wikipedia.org/wiki/Music_director <--this KINDA explains it, but for orchestras.