I used to have the Ciccone Youth album. They actually do a pretty straight version of "Burnin' Up."
As far as Watt and the Sonic Youth guys (and gal) being actual "fans" that's hard to say...SY had a track called "Madonna, Sean and Me" on one of their earlier albums and I remember seeing pics of Thurston and Kim hanging out with the twins from the 80s pop-metal band Nelson (they were the sons of either Ricky or Dave Nelson, grandkids of Ozzie & Harriet)...
I really think with them it's not so much a "Whoa, I LOVE Madonna and Nelson!" thing as much as it is a fascination with and examination of the poppest of pop culture.
I mean, they may well like the music for what it is, but I think largely it is an ironic sort of take on pop culture itself, such as the Karen Carpenter thing they did...