Alexander Larman’s The Crown in Crisis ended with the former Edward VIII, “now exiled to Europe, traveling away in the night.” In his engrossing The Windsors at War, Larman relates what happened next. In some respects, the tale he tells can be read as a pitch-black comedy, something signaled by the dramatis personae that begins it. A “disgraced Yugoslavian prince” makes it into “Society — high” joining, among other grandees, a millionaire murder victim, and no fewer than three “playboys,” one of whom was the millionaire’s suspected murderer. A “would-be royal assassin” fares less well, banished to “Society— low,” along with the likes of a journalist (naturally) and an American engineer “unimpressed by the Duke and Duchess of Windsor.”…