Not to get too off-topic here since the Leonie Leslie issue is covered in Arthur & Louise's thread as well as the thread on Friends & Confidantes of the Royals but here's a bit from Anita Leslie's book Edwardians in Love:
"It was in the mid-nineties, when they had been married for about ten years, that ... [John Leslie], who had served in the Guards Brigade under the Duke of Connaught, introduced the vivacious Leonie to his former commanding officer. H.R.H. immediately fell under her spell, and remained so until 1942, when he died aged ninety-two. The Duke was a keen professional soldier, and the year 1895 contained a bitter disappointment, for he had hoped to succeed the old Duke of Cambridge as Commander-in-Chief. ... [Leonie Leslie thus entered his] life at a moment when he felt the star of fortune turned harshly. Being a susceptible male, Arthur knew his heart shaken; and being a shy German princess, the Duchess reached out for the gaiety which the American radiated. ... For decades [therefore, Leonie Leslie] "ruled the Duchess and ran the Duke". ...
For two or three years [1900-1904] the Duke commanded the troops in Ireland ... . The Leslies naturally paid frequent visits to the Connaughts' residence in Dublin, and in summer-time the Duke rented Castle Blayney, a large country house seventeen miles from Castle Leslie, so the va et vien could be continuous. ... Leonie and her husband accompanied the Connaughts to India when the Duke went to represent King Edward at the Durbar. ... When in 1909 [sic - 1907] the Duke assumed command of the Mediterranean area it meant that the Jack Leslies went out to enjoy Malta, and [the Leslie] scrapbooks grew heavy with photographs of polo, ponies and parasols. ... In 1913 the Duke became Governor-General of Canada. ... Soon after this, war broke out and Leonie's son, Norman, was killed [N/1-2], as were the sons of almost all her friends. ... In 1915, to help assuage their grief, Jack and Leonie paid a visit to Ottawa. ... In 1917, when the Connaughts had returned to England and the Duchess grew seriously ill, Leonie called daily at Clarence House and was asked to break the final news. ... Throughout the next twenty-five years Leonie would continue to cheer and amuse her Prince. ... [And] from 1898 to 1936 she nearly always spent Whitsun at the Duke's house at Bagshot. ...' "
The Frankland book also, to my recollection, quotes from many letters and I'm inclined to agree with Keith's perception of the relationship with the Duchess. She had a pretty solid marriage for the times, moreso than many and for a longer period, and she seems to have accepted Arthur's relationship (to whatever extent it was) gracefully. Frankland's bio relates how Louise asked Leonie to break the news of the seriousness of her last, fatal illness and comfort him until family could arrive. Leonie's niece, Claire Frewen, was also a very close friend of Margaret and, I believe, Patsy. All of them were artistically inclined. Leonie also, with the help of her sister Jennie, Lady Churchill, tried to improve the relationship between the Connaughts and Edward VII.