Caveh Zahedi built a reputation as a naughty provocateur with surreal docu-comedies like "A Little Stiff" and "I Am a Sex Addict," but his latest effort rises above self-interest and takes a stab at instigating change. "The Sheik and I," a diary film about Zahedi's messy experience working on commission in the United Arab Emirates, still contains a mischievous edge.