Lady Mary says she met Sir Richard at Cliveden. This was a huge estate owned by Waldorf Astor. He and his wife had lavish weekend parties there and entertained the cream of the crop in high society.
Sybil's lament, "All the men I've ever danced with are dead," is based upon script writer/series creator Julian Fellowes' own Aunt Isie, who is quoted in Virginia Nicholson's book, "Singled Out", which discusses the lives of women after World War I.
Two women disrupt the concert by handing out white feathers to all the young men not in uniform, including William and Branson. Unbelievably, this was actually a thing in England at the start of the First World War. In August 1914, Admiral Charles Fitzgerald founded the Order of the White Feather with support from the prominent author Mrs Humphrey Ward. The organization aimed to shame men into enlisting in the British Army by persuading women to present them with a white feather if they were not wearing a uniform.
Granny tells Sybil to not forget her aunt "loaded the guns at Lucknow." She's referring to the siege on the British Residency in Lucknow, India in 1857. The siege lasted almost 6 months.
The Dowager describes a plant as looking like "a creature from the lost world," referring to "The Lost World," a popular science fiction novel by British writer Arthur Conan Doyle, published in 1912.