Margrethe had some interesting in-laws. If we can trust wikipedia, Henrik was not legitimately conceived. His mother Renee was married in a civil ceremony in September 1928, but there was no religious ceremony. She and her first husband legally divorced in 1940 (when Henrik was 6). This husband was not Henrik's father - at least supposedly. Henrik was conceived around September 1933, and his parents were married in a religious ceremony in January 1934, five months before his birth. They did not marry civilly untill 1948 (which I guess makes sense - for the first 6 years of their marriage, Renee was legally married to someone else).

I've read that Henrik's father never liked Margrethe, mostly because Henrik was supposed to marry a good French Catholic girl, not a Danish Lutheran, and have lots of kids who would carry on the family name. Margrethe and Renee are supposed to have gotten along all right. Here's Renee at Margrethe and Henrik's 25th anniversary dinner, wearing a tiara borrowed from her daughter-in-law:
