Art shows to check out this month: Steve McQueen at Dia Beacon; "Other Realities" at Bill Arning Exhibitions; Arlene Shechet at Storm King Art Center; "This Must Be the Place?" at Mad Rose Gallery; Guzman at LABspace; Suprina at Jane St. Art Center; Roy Gumpel at 415 Gallery; "Spillover" at the Hessel Museum of Art; Ruth Soffer at The Local; and John Fleming Gould at Bannerman Island Gallery.