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.
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'.
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.
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.