Pavel Otdelnov made his mark on the Russian art world with paintings that confront the country’s dark Soviet legacy. It is the horror of his homeland’s present and his fear for the future, though, that prompted the celebrated creator to flee. In doing so, he joined an artistic movement that might be dubbed the Exodussionists — Russian painters, singers, dancers, performers and other cultural figures who have left their country in opposition to President Vladimir Putin and the war Russia is waging in Ukraine. “I thought that either I would have to keep silent and be afraid all the time,...