By Michael Snyder AS A YOUNG woman in Mexico City, Gaby Muñoz, a 43-year-old performer known onstage as Chula the Clown, recalls, putting on makeup with her friends was always a fraught experience.

This is, after all, an artist whose fans moved against him in 1965 over going electric. “Judas,” they called him. But Dylan’s newfound religion was striking for its intensity. He preached ...