When South Africa opened its books on the atrocities of the apartheid era in the 1990s, a tantalizing series of faded documents reignited one of the continent’s enduring mysteries. The records suggested that a white militia, operating with the support of the C.I.A. and British intelligence, orchestrated the 1961 plane crash that killed the United Nations secretary general, Dag Hammarskjold. Twenty years later, a team of documentary filmmakers set out to investigate the shadowy militia, known as the South African Institute for Maritime Research, and to determine whether it had really assassinated Mr. Hammarskjold. What they uncovered, if it is...