Natalia Goncharova was not a socialist, but came from a bourgeois family, was involved in the pre WW I Russian avant garde, and moved to Paris in 1914 before the Revolution and never returned to Russia. Some of her work has sold for over ten million dollars, which is not too socialistic either.

Probably the best known woman filmmaker in history was a socialist. Leni Reifenstahl made the famous documentaries "Triumph of the Will" and "Olympiad" for the National Socialist state in Germany in the 1930s.