Oscar-winning director Steve McQueen’s films rarely have a light touch. For example, “Hunger” recounts the life of IRA member Bobby Sands, and the group’s organized hunger strike; “Shame” depicts sex addiction; “12 Years a Slave” violently retells the story of a freed Black man kidnapped into slavery; and “Widows” explains the socio-political environment for women and Black people in Chicago. Each film is set in among harsh characters made rougher by the explicit violence that’s prevalent in their respective life. McQueen’s new anthology series “Small Axe” — the term derives from a West Indian proverb: “If you are the big tree, we are the small axe” — arrives at New York Film Festival with three of its five episodes, and similarly, concerns itself with harsh environments.