Not so long ago, Megyn Kelly was one of the highest-paid broadcast journalists in the industry. In the autumn of 2018, the Fox News anchor transitioned from cable news’s top-rated show into the coveted third hour of NBC News’s Today morning program. That meteoric run ended when she used her post to question the role of NBC, her own employer, in silencing a number of #MeToo-era scandals. Not two months later, NBC used specious racism charges to pull her off the air. NBC executives succeeded in, once again, putting a lid on sexual-misbehavior accusations within the company. That helps explain why Kelly’s long-awaited comeback, two years later, comes via her decision to be the first traditional news superstar to depart legacy media willingly in order to launch her own podcast company and show. Kelly recently...