I don't think they ever really wanted privacy, maybe Harry dreamt of a quiet life in Africa to start with, but Meghan clearly wants to be in the public eye.
I think they felt that they weren't fully recognised in the RF and didn't see why others in the hierarchy (like the actual Queen) should take precedence over their fabulousness. And didn't like being told what they should and shouldn't say and do by employees of the RF, for the benefit of the family as a whole. They wanted to be in control, shape their own image and make a lot of money.
Unfortunately, judging by the polls and the worldwide ridicule, it seems that those royal employees (who have a lot of experience and make their living doing PR and comms) are a lot better at it than they are.
I wouldn't be at all surprised if their marriage is in trouble - Meghan seems ready to move on now, she carefully distanced herself from the book, new hair, new agent etc. I'm sure her next project will be announced soon, whether that's content creation for Netflix or Kardashian/Paltrow style lifestyle and merch. But Harry is clearly still very resentful about a lot of family stuff, which will never be resolved to his satisfaction if he keeps comparing himself to his brother. Plus he is stuck in a whole bunch of litigation that will drag on and on and cost him £££. Not an easy place to be for someone whose mental health is fragile and who has hardly any family to rely on. God knows what will happen if they do split up - how will he make a living and what will his options be, staying in US to be near the children but with little support, or come back to the UK, try to fix things with William and rejoin the RF?