You do not expect the star of a musical about a man lynched by an antisemitic mob to be his wife. Especially when that man, Leo Frank, who was murdered in Georgia in 1915, is played, with his usual intensity and vocal drama, by Ben Platt. Yet in the riveting Broadway revival of the musical “Parade” that opened on Thursday at the Bernard B. Jacobs Theater, it’s Micaela Diamond, as Lucille Frank, you watch most closely and who breaks your heart. With no affectation whatsoever, and a voice directly wired to her emotions, she makes Lucille our way into a...