I suppose we tend to associate modernism with left-wing politics because we feel that people who embrace radical and new aesthetics would probably have radical instincts in politics as well: whatever else modernism was, it wasn’t a conservative movement. To reduce so much in art and politics down to one binary personality trait is very simplistic; even so, there’s probably some truth to it.
But left-wing politics doesn’t have a monopoly on wanting to change the world. Fascism was a radical movement; perhaps it’s not surprising it should attract its share of radical artists.
» The painting is Mi esposa desnuda by Salvador Dalí; an artist who started on the left and later supported Franco.