A note by the Princess of Réthy from Cuba to the Duchess of Windsor is being auctioned. It offers a glimpse of Lilian's brief, but charming and witty writing style. The letter reads: "I hope you will like these little lace things which are "typiquement" Flemish! We hope to see you very soon in Europe!"
Although I have never heard that the two couples were especially close, King Leopold and his wife did go golfing with the Windsors in France. Here is a clip of such a tourney in Cannes.