According to the director, Judi Dench was always slightly nervous that they would edit her speeches, as she had learned them. During the 'sherry-sipping' party before the opening of the theatre, at two points, Thelma Barlow's character prompts her in her speech ("Bread line... Employment"). This wasn't in the script, but Stephen Frears thought it was funny so included it into the final cut.
Mr. Van Damm announces that Bertie has been kept out of military service by his heart murmur, and everyone present (including Bertie) reacts as if this is a great joke. This suggests that it's an official cover story. Homosexual acts were a crime in Britain at the time, although they were usually covered up rather than prosecuted. The presence of obvious homosexuals in the army was considered bad for morale, so it was common for perfectly healthy men of that nature to enlist for service and be turned away. Since recruiting officers often refused to even admit that homosexuality existed, they paid doctors to publish falsified medical reports naming such a disability as the pretext for why the volunteers were turned away.
The scene where Mr. Van Damm and Mrs. Henderson were arguing about the name "Millettes or Millerettes" is all done in one continuous shot. Stephen Frears thought it better to 'stand back and let the actors interact'.
Mrs. Henderson says the famous Moulin Rouge music hall in Paris is the namesake of her Windmill. This is because Moulin Rouge translates as Red Windmill and has a windmill motif. She also mentions the female dancers in Paris who wear only bananas, an unmistakable allusion to the American expatriate who became a French national symbol: Josephine Baker.
The movie gets a few historical dates wrong. In real life, Laura Henderson's husband died in 1919. She bought the Windmill Theater in 1930, and began offering the "tableaux vivants" featuring nude performers in 1932. (Director Stephen Frears decided to begin the movie in 1937 to better capture the fantasy spirit of 1930's musicals.) After Mrs. Henderson's death, Vivian Van Damm ran the theater for many years, before willing it to his daughter, race car driver Sheila Van Damm. Many notable British comedians, including Peter Sellers and Bruce Forsyth, had their initial successes at the Windmill Theater. The theater closed in 1964, when it was converted into a cinema.
While talking with the girls who will perform the nude tableaux, Vivian Van Damm compares them to works of art. "You are the Venus de Milo, the Mona Lisa..." When Maureen says the Mona Lisa wore a dress, Van Damm replies, "Some do, some don't." In the film, Mona Lisa (1986), Bob Hoskins played a chauffeur for an expensive London call girl, whom he came to think of as his "Mona Lisa." (Hoskins received his only Oscar nomination for the film.)
When Vivian Van Damm gives a patriotic wartime speech to the Windmill Theater's cast and crew, Mrs. Henderson says of him, "He thinks he's bloody Winston Churchill." In fact, Bob Hoskins did play Winston Churchill, in the TV mini-series World War II: When Lions Roared (1994).
The unsupported, unprojected, anachronistic singing of the principals would have been inaudible beyond the second row in the Windmill. For how it was actually done at the time, see Murder at the Windmill (USA: Mystery at the Burkesque).