I think that ultimately the reason the movie failed to connect had little to do with the period or the Cold War; there have been plenty of movies set in that period that have successfully connected with audiences. The reason, I think, is that on an emotional level the Watchmen book is fairly cool to the touch; it's thoughtful, intellectual, with great characters, but nonetheless on the cool side. Film and television are hot mediums, in that they rely on passion and extreme emotions to reach across the darkness of a theater to affect the audience.