I think the answer becomes more obvious if you turn the question around. It isn’t that conservatives don’t enjoy art-house films, it’s that people who enjoy art-house films are unlikely, in the current political climate, to self-identify as conservatives (or at least as Republicans – I suspect the ones with conservative leanings are more likely to consider themselves libertarians, in which case they’d presumably have a Ron Paul bumper sticker instead of a McCain one).
People who like foreign and independent films are, pretty much by definition, interested in the arts and culture. If I may be permitted to engage in a bit of stereotyping, I’d guess that most of them are fairly well-educated (bachelor’s degree or higher, from a selective institution); they are likely to enjoy much of the programming on PBS and NPR; and they like to perceive themselves, and be perceived, as open-minded, sophisticated, and intellectual. (I’m not saying that they necessarily ARE all of these things, just that they like to think of themselves that way.)
In its current incarnation, the Republican party doesn’t have very much to offer this group of voters. In fact, for at least the last fifteen years (ever since Newt Gingrich started flinging around the term “cultural elite”), it has made a deliberate choice to alienate them. It’s quite possible that some of these people might be attracted to a conservative political party that had made different branding choices; after all, some indie film fans are well-off, and Republican economic policies may well be in their best interests. But in general, people aren’t going to vote for a party that tells them their votes aren’t wanted.
The reason is that indie films tend to try to be provocative and challenge the status quo. Thus, by definition, they tend to be more progressive and more liberal.
A lot of conservatives are annoyed with the GOP and have either gone independent or sorta-libertarian. “Conservative” doesn’t mean “Republican.”
I kind of think that the OP is a silly generalization. I don’t know why foreign films should only appeal to liberals. Myself, I like foreign films a lot, but my politics consist mostly of “a pox on both their houses.”
I think there is a bit of satisfaction in seeing an indie film if you resent the corporate bigwigs who milk franchises and cast the big names just to pull in box office sales. Conservatives are less bothered by big studios pulling in big profits. But I do enjoy seeing a great indie film hit it big. So, I think there’s something inherently enjoyable to the liberal public when they see a struggling No-Name pull up his/her bootstraps and show those bigwigs that Joe Nobody can also be a success without having to sell his/her soul.
I dream of having the power to cast some of the big blockbusters. I love the fact that Tobey Macguire got the lead in Spiderman, because he was relatively unknown, but a great talent. If it were up to me, I would cast all the “big summer movies” with relative unknowns, because they tend to be some of the best talent. Indie films are often populated with unknown, or little known, but extremely talented actors.
While religious people are generally conservative, conservatives are not necessarily religious. Haven’t seen (or until now heard of) Fireproof but did scan your wiki cite. Why would someone (conservative or not) who is not religious be interested in a Christian yay/boo saga/soap?