Andres Veiel’s sombre documentary tells the gripping, incrementally nauseating story of Helene “Leni” Riefenstahl, the brilliant and pioneering German film-maker of the 20th century who isn’t getting her name on a Girls on Tops T-shirt any time soon. Riefenstahl was a dancer and actor in prewar movies by Arnold Fanck and GW Pabst, whose performance in 1932 in The Blue Light, her own Aryan romantic fantasy as director-star, entranced the Führer and secured her two historic directing commissions: Triumph of the Will in 1935, a monumentally euphoric and grandiose account of the Nazi party congress in Nuremberg, and Olympia, about...