Henry VIII learnt it the hard way. So did the Duke of Windsor. And Princess Margaret. And Prince Charles. And now, so have Harry and Meghan.
You can't be royal and have what you want. It's written in the job spec: 'You will have riches galore, a life of immense privilege, people bowing and scraping wherever you go -- and you will be miserable.'
In fact, there is a way out if you don't want to sign on the dotted line: you keep your head down and get on with your life. Peter Phillips and Zara Tyndall, the children of Princess Anne, and therefore, like Harry, the Queen's grandchildren, are a good example.
Meghan Markle's big mistake was to imagine that she could bend the Firm to her wishes. Harry, who should have known better, seems to have agreed, despite his older brother's apparent warnings. Their mother, Diana, had no idea what she was getting into when she married Charles; Meghan had no such excuse.
It is difficult to imagine two cultures less likely to be able to coexist than California and Clarence House, the official residence of Harry's Dad, the future King.
California: the cult of the individual, wear your heart on your sleeve, happiness is a basic human right.
Clarence House: duty and tradition, first and last. Stiff upper lip, never apologise, emotions to be kept firmly behind closed doors.
As for struggles with mental health, this, remember, is a family which institutionalised two of the Queen's first cousins and airbrushed them from history. Katherine and Nerissa Bowes-Lyon were the daughters of the Queen's uncle, the Queen Mother's brother, and -- as viewers of The Crown will recall -- they both suffered from profound learning difficulties and were in effect abandoned by the royal family. (Nerissa died in 1986 and Katherine in 2014.)
No wonder Meghan, like Diana before her, found that her pleas for help fell on deaf ears. No one who knows anything about the history of the family she married into should have been surprised.
As for racism, well, hello? Where have you been? Yes, it is shocking that an as yet unidentified family member should have regarded it as perfectly appropriate to speculate in Harry's presence about the likely skin colour of the couple's unborn child. But surprising? Not at all.
Which brings us to the nauseating hypocrisy of the tabloid newspapers. It is Meghan's great misfortune to have been cast as their latest royal target du choix, following in the unhappy footsteps of Princess Anne, who was pilloried in her youth as 'her royal rudeness'; Sarah Ferguson ('her royal idleness' and 'freeloading Fergie') and Princess Diana, whose brother described her after her death as 'the most hunted person of the modern age.'
The royal family, their many failings and their unerring inability to understand modern Britain, are grist to the tabloid mill. Whoever expressed misgivings about the unborn Archie's likely skin colour clearly has yet to come to terms with living in a racially diverse society. Tabloid editors know that, but prefer to aim their guns at Meghan for 'disgracefully smearing' the entire Firm.
Not that Meghan and Harry can escape without taking their share of responsibility for the way their relationship with the Firm has disintegrated. Judging by her remarks to Oprah Winfrey, Meghan made little effort to understand the rules governing which titles are granted to which royal offspring, or when the taxpayer can be expected to pick up the tab for their personal security.
Perhaps they thought that in a country where the prime minister believes in having his cake and eating it, they should be similarly entitled.
The historian David Olusoga put it well in The Guardian: 'Trapped in denial -- about everyday racism, structural racism, slavery and empire -- there are parts of British society that appear incapable not just of change but even of its necessary precursor: honest self-reflection.'
No one would ever accuse either the tabloids or the royal family of an excessive propensity for honest self-reflection. And two unhappy young people, each of them the product of a seriously dysfunctional family, are paying the price.