ROCKY MOUNT, Va. — One sunny day last spring, Bridgette Craighead was dancing the Electric Slide with three police officers in the grass next to the farmers’ market. It was the first Black Lives Matter protest this rural Virginia county had ever had, and Ms. Craighead, a 29-year-old hairdresser, had organized it. She had not known what to expect. But when the officers arrived, they were friendly. They held her signs high, and stood next to her,...