The documentary by director Donna Davies—based on “1000 Women in Horror, 1895-2018,” by Alexandra Heller-Nicholas, who wrote the script—isn’t labeling any particular film as good or bad. Not according to traditional film-school rules. Or even the queasiness of one’s stomach. The judgments made by Ms. Heller-Nicholas and the many directors interviewed are concerned mainly with how a work figures into the history, portrayal and interpretation of women on screen. It might have been useful to hear some moviemakers trashed for their exploitation of imperiled and/or eviscerated heroines—from Merian C. Cooper and Ernest B. Schoedsack (1933’s “King Kong”) to Joe D’Amato (“Porno Holocaust”)—but that isn’t what Ms. Davies is about. There’s something good, or at least useful, to be found in every movie mentioned.