My sister has just come back from spending a week at Le Moulin de la Tuilerie, the weekend retreat of the Duke and Duchess of Windsor. I believe it was the only property the Duke and Duchess ever actually owned.
Perhaps in terms of a home (where they actually resided much of the year); however, the Windsors also owned the E.P. Ranch in Alberta, Canada. It was purchased by Edward, then Prince of Wales, in 1919 after his tour of Canada, and he bred lifestock, notably Shorthorn cattle, Dartmoor ponies, Shopshire sheep and Clydesdale horses. In 1956 the Duke of Windsor and a group in Britain formed the EP Ranching Company to take over the ranch operations. It was restocked with purebred animals from Britain. In 1962 the ranch was sold to a neighboring rancher.
The Prince visited the ranch in 1923, 1924 and 1927, and after his abdication as King Edward VIII, visited the ranch with his wife in 1941 and 1950.