One of the great joys of the New York Film Festival has been watching Steve McQueen’s new film anthology “Small Axe.” Composed of five works set between the late-’60s and early-’80s, the two recently screened films — “Lovers Rock” and “Mangrove” — are intimate slices of life of a little-represented community, British Black folks from the West Indies, resiliently thriving amidst a racially hostile environment.