There are many reasons to celebrate the 20th anniversary of New York’s Neue Galerie. To begin with, the elegant museum, focused exclusively on German and Austrian art, has reopened, after being closed for more than a year due to COVID. And it has done so with panache, with “Modern Worlds: Austrian and German Art, 1890-1940,” an exhibit made up entirely of highlights from the museum’s permanent collection. The collector himself is the philanthropist, Jewish World Congress president and Neue Galerie president Ronald S. Lauder, and the museum is housed in the 100-something-year-old mansion on Manhattan’s East 86th Street that was...