Unortodox in relation to the industry at large. If you compair a work with the rest of its directors ouvre -- then almost no film is unortodox.
Being ostentatious about your style doesn't necessarily make said style great. The style of Neon demon is increadibly overt but it is also at many times sterile, garish and obtusely symbolic to a fault. And let's not pretend that Refn invented dead-center fraimming. I'm not saying that the style is bad or anything -- but it definitively doesn't keep the movie afloot.
What?
Civil War and Dr Strange obviously have themes. They're almost as overt about it as Neon Demon is.
Civil War is the conflict between authonomy/freedom vs regulation/govermental control (and frankly, even as clunky as it could be it was still more thought-provoking than Neon Demon). Dr Strange is empriricism vs spirituality, aloofness vs intimacy, and the question of moral necessity when it comes to combating evil.