I can't clearly get this phrase. Is it related to the "kick out the jams"? Or "jam" means the song/jazz improvisation, so what does "kick out" mean in that case?
The context is "they are kicking out the last jam of their set".
When the band MC5 wrote the song 'Kick Out the Jams', the band explained that they used to play as a house band at the ballroom in Detroit with another band. They would scream at the other band to get off the stage, or 'kick out the jams'. This, however, took on a new meaning as the song become more well-known, as a member of the bad explained:
"People said "oh wow, 'kick out the jams' means break down restrictions" etc., and it made good copy, but when we wrote it we didn't have that in mind. We first used the phrase when we were the house band at a ballroom in Detroit, and we played there every week with another band from the area. [...] We got in the habit, being the sort of punks we are, of screaming at them to get off the stage, to kick out the jams, meaning stop jamming. We were saying it all the time and it became a sort of esoteric phrase. Now, I think people can get what they like out of it; that's one of the good things about rock and roll."
So while the phrase was originally termed to insult the rival house band, I think the meaning nowadays is closer to the way you described it. In this sense I would say it means to play the last song of the set.