A few weeks ago I stumbled on a fascinating website devoted entirely to David Lynch's film Mulholland Drive and discovered one source of the theory that Betty/Diane Selwyn is a trauma/sexual abuse survivor. I could not believe--after so many years of thinking and reading about that film--that I was just now learning of such a major "clue"! I'm still totally dismayed that I'm just learning about this now.
The mysterious painting
There is a painting of a young woman on the hallway of Aunt Ruth's house, which is prominent in certain scenes (e.g., it was centered between a shot of Betty and Rita sitting on the couch). In real life, this is a painting by Guido Reni called "Beatrice Cenci".
Beatrice Cenci was a young Roman noblewoman who lived from 1577 to 1599. She was a victim of the incestuous advances of her father and so she hired two hit men to kill her father and then make it look like an accident. Even though she was caught and executed for the crime, along with other family members, the sympathies of the public were with Beatrice. She became legendary as a symbol of the lost innocence of victimized daughters, and she has inspired many works of art, books, plays and even a few movies that attempt to capture her story. One author, Percy Bysshe Shelley, who wrote a play about the tragedy called, "The Cenci," said Beatrice's story is about "the most dark and secret caverns of the human heart." - (Alan Shaw)
https://www.mulholland-drive.net/studies/painting.htm
To your original question, if I'm totally honest i say I sometimes notice the art in movies on a first viewing, unless maybe it's like a Michael Mann film where the set design is a big part of the experience of apprehending the movie. I suppose there are some exceptions, like Kubrick's work, or a very metaphorical movie like Melancholia where ambiguity is central.
What a great question though. I am rewatching some of David Lynch's work and I will admit I noticed much more about the set design of Lost Highway. I'm about to tackle Inland Empire and I will try to pay better attention!
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