The Crawleys are in London, including Cora's mother and brother, for Lady Rose's presentation to society. While there, Rose is keeping company with Freda Dudley Ward, who in real life was the mistress to the Prince of Wales, just like here on "Downton." The prince is Edward VIII, son of George V and uncle to the present-day Queen Elizabeth II.
There's a whole heist storyline, as Freda's love letter from the prince is stolen from her handbag by the nefarious card cheat Sampson. Robert's Eleven swing into action to get the letter back, with Bates emerging as the big hero when he manages to swipe the letter from Sampson's overcoat and all is safe with the British monarchy (for now).