In Steve McQueen’s “Occupied City,” a young woman with an even voice narrates, with rigorous specificity, Nazi encounters and crimes throughout Amsterdam during World War II. The accounts go address by address, and so does McQueen’s camera. Yet the images that play throughout “Occupied City” are of modern day Amsterdam. In the roving, 4 hour-plus documentary made by McQueen, the “12 Years a Slave” director, with his partner, the Dutch documentarian and author Bianca Stigter, past and present are fused — or at least provocatively juxtaposed. The effect can be startling, stirring and confounding. An elderly woman shifts to country...