The most important thing about a person is always the thing you don't know.
The context is double-barreled. First, she has just pulled back her full length, Indian dress to show her butchered up leg to our protagonist for the first time. Shepherd had commented innocently on her extravagant and famous manner of dressing. She then showed him the primary reason for that manner of dressing.
Second, the other subject of the conversation was her very personal paintings and some nasty reviews in New York and Paris. All great paintings portray something hidden in the subject. (My theory, not Ms. Kingsolver's, although I am sure that I picked that up somewhere else.) In Frida Kahlo's case the subject is herself.
Perhaps Ms. Kingsolver in her research discovered that Frida Kahlo actually made this statement at some time. Perhaps Ms. Kingsolver invented it. It makes little difference to me. In either case the statement goes right to the heart of her paintings.
These paintings are so revealing of things about her that others did not know. Many are downright difficult to look at. I am speaking for example of The Broken Column, previously posted, and
and, last but not least. . .