Generally, knowing an artist’s biography isn’t essential to the experience of the work, which must live on its own merits. Occasionally, however, as with the subject of the Museum of Modern Art’s “Wifredo Lam: When I Don’t Sleep, I Dream”—a full-dress retrospective comprising more than 130 paintings, drawings, prints, ephemera, illustrated books, ceramics and large-scale works on paper—learning at least a little about Lam’s multiethnic, multicultural life story offers entry into his exotic oeuvre.