Less than 2 weeks after her boyfriend killed 5 people in cold blood, Anne received a package from the grave. It came from the man she’d spent the last year with, Lyndon McLeod. Inside were the rights to Sanction—a three-volume book series McLeod wrote under a pseudonym that graphically details a killing spree carried out by a character who shares his name—and a 47-minute movie he shot and edited in his final days. The film, titled “War Horse,” contains footage that appears to tell the story of McLeod planning and carrying out the attack. The package also contained the books...