That photo of Frank and the boys was taken at The Westchester Premier Theater. The place was notoriously mobbed up. It was owned, run and staffed by mob goons right down to the parking valets. It was a classic example of a mob "bust out" operation, sucked dry of all assets and run into bankruptcy. It was a big story, I remember the news coverage years ago. A bust out is what happened to the Bamboo Lounge in Goodfellas after Paulie became a partner but I don't think they torched the Westchester for insurance.
As for DiMaggio, I've read that Joltin Joe was also questioned by the FBI for being a little too chummy with some mafia guys.