why this part of the movie was not explored at all ?

Well, Einar dressed flamboyantly in one scene and was brutally attacked so we can all guess exactly how the majority of the world would have reacted to a man who dressed like a woman in that time. I think the point of the famous portraits was that, in them, Lili saw her true unapologetic self, in them she was a beautiful woman accepted and admired by all. If everyone had found out the truth about the paintings all of this would have been gone. People would no longer see Lili but Einar dressed in women's clothing. Instead, in the film, the paintings remained genuine and honest as the only true reflection of Lili.

You have to remember the time and place - not too far from Germany and WWII. After all, many of real-life Lili's records were destroyed by the Nazis. We can only imagine what would have happened to Lili if she'd been around in the 40's and was known to be a transwoman.