Yep, I too find it interesting watching royal-related films and reading about all aspects of British royal history, so I am interested in finding out if this is a new documentary on Wallis, or one that I've previously seen. Meanwhile,
I realize you are only commenting in fun-spirited good humor, so please bear with me.

I'm sure the British royals have fun watching television, but perhaps they more-so tend to enjoy comedies or various other genres, not necessarily associated with watching a documentary about a long-departed, and somewhat disgraced relative and his wife.
Probably, the Sussexes unwind whenever they can by sometimes watching the telly. Of course, laughter is the best medicine, and some of the younger royals may indeed engage in a few guffaws and a bit of head-shaking over the more errant dramatic licenses taken in Netflix's
The Crown. Right now though, DoS Meghan may not have much time for television watching. As a former actor, she's already ticked the box on a successful career in television, and her life has subsequently moved on to a very different plane and sphere of influence.
The Duchess of Sussex is a member of the British royal family and thus by now she surely knows more than we can imagine about the inner workings of the family, possibly including family secrets dating back some years that have never been revealed to the public-at-large, nor to documentary filmmakers. DoS Meghan is six months pregnant and she's a very busy lady, planning for her first baby's arrival, not to mention other royal duties and upcoming public appearances on behalf of the firm.
Of the rich British royal family history, I doubt DoS Meghan necessarily has avid interest in Wallis Simpson, regardless of the tabloids attempting to join them at the hip. I think DoS Meghan has more in common with European royal contemporaries like Princess Angela of Liechtenstein and Princess Charlene of Monaco, et al (and if historical antecedents are needed, Princess Grace of Monaco comes to mind).
Wallis Simpson may have been a divorcee and an American with fashionable style, but I'd say that's where the comparisons with DoS Meghan fairly much end. In all significant respects, the two incidences of Americans marrying into the British royal family are completely different. In fact, I believe the modern-day love story and royal wedding of Harry & Meghan in some ways marks a healing of the decades of star-crossed love and personal anguish that the Edward & Wallis episode in British royal history, precipitated.
The British royal family may wish to recall fonder memories of Edward VIII, or to largely turn the page of that painful period altogether. I personally wish there were more documentaries and dramas produced on the life of Prince William of Gloucester (the current Duke of Cambridge is his namesake). William of Gloucester became one of the lesser-known casualties of the Simpson affair/ abdication crisis. The British royals haven't been too interested in publicly remembering or revisiting the handsome and accomplished William of Gloucester's needlessly tragic life story either. Also likely because, for different reasons, it's probably too painful for the surviving elders who knew him.
https://www.youtube.com/watch?v=3SMX5kUDOas documentary:
The Other Prince William