PHOENIX, Ariz.—Professional dancer Zohra Lack and her husband John Lack were in tears from the evening’s performance. Shen Yun moved them in ways hard to articulate. They saw the March 4 performance at the Orpheum Theater. “It was amazing; it was everything,” Mrs. Lack said, sobbing. “The costume, the beauty, the music, the people working together.” “In tears, no words, inspiring, touching,” Mr. Lack said, also wet-eyed. “It makes me want to be a better person.” Shen Yun is a New York-based classical Chinese dance and music performance that has performed across the world annually since 2006. The Lacks live between New York, where Mrs. Lack teaches dance, and Phoenix. They have known about Shen Yun for 3 or 4 years, and now that she’s finally seen Shen Yun, Mrs. Lack says she can finally report back to her friend in New York who’s already seen Shen Yun twice. “Tonight I have to …