I suppose there is the germ of a good idea here, and 2011's "W.E." is not unsuccessful. As a directing effort by Madonna, it's okay. And you have to give her credit since she had to know everyone would be gunning for her.
In 1998, the estate of the Duke and Duchess of Windsor goes up for auction. One person particularly interested in it is Wally Winthrop (Abbie Cornish), who is very taken with the love story between Wallis Simpson and the Duke of Windsor, and particularly Wallis' life and other marriages. The film takes us through the courtship and marriage of the Duke and Duchess as well as Wally's disintegrating marriage to William, and then her relationship with the Soviet security guard she meets at the auction house.
Personally I've never found anything romantic or sympathetic about Wallis and David. I think Wallis was a great excuse for David to duck responsibility and heap it onto his stammering brother. And neither he nor Wallis thought about what they were going to do once they were married. And what did they do? Roamed the world, showing up at a location when it was in season, and making friends who would write books about them after they died. By the time the couple realized what they had done, it was too late. No breaking up the great romance.
Nevertheless, as many times as their story has been told, it's still fascinating, and much more interesting than the marriage of Wally Winthrop and her husband. Not to mention, there is a fantastic performance by Andrea Risborough as Wallis. As Edward, James D'Arcy is incredibly dashing and attractive. It's really the stronger story, and Madonna might have been better off just telling their tale, using a different point of view than others have in the past.
The moral seems to be to take a risk and go for happiness. It's a fine moral; I'm just not sure I would use the Duke and Duchess of Windsor as inspiration. Was theirs a great love story? I'm sure it was, and no doubt the Duke's death hit the Duchess very hard. But they were human beings who undoubtedly fought, took one another for granted, and had some misgivings. And that's the big problem with idealizing any romance - in the end, the people we idealize are too much like us.
