Throughout a formidable career that spans six decades, Annette Messager has reconceived everything things—down puffers, bras, stuffed animals—into ambivalent emblems of collective dysfunction and desire. In her atelier in Malakoff, just south of the Paris perimeter, she toils between the playful and the macabre, between parody and critique, mining personal obsessions and slyly veering into social transgression. Below, the artist—whose latest show, “Comme si” (As If), runs from May 11 to August 21 at the Lille Métropole Musée d'Art Moderne (LaM) in France—discusses coping with angst, the pitfalls