I just find that really weird and disturbing. But they both do it. They both lie. Outright, big lies, disproven ones, I genuinely have never met anyone who does that.
Narcissists do that all the time. Textbook behaviour. Their grandiose thinking makes them feel they can simply get away with it and they enjoy the power of manipulating others. If you can lie deadpan enough and others believe you then it's the purest form of manipulation. Omid Scobie is very similar with his bold-faced massive lie on national TV that the translators added the names into the book. The fact Meghan deals with someone like that is one of the biggest red flags into her character as well.
The thing is, narcissists can often be hugely fun and generous as well. They can be charming to spend time with, beneficial as friends or colleagues if they find your status "worthy" enough for them, and they will go out of their way to do good things for others. Out of the two, Meghan ticks most checkboxes for NPD. Harry appears grandiose but he grew up in an extremely dysfunctional family and he's literally a prince so I don't think he could come across any other way.
Also agree with PPs who said it doesn't seem Harry's image was completely shielded from the public. During the years where W&K were dating, he was in the Army, the fab 3 etc he appeared genuinely happy. He looks like the typical case of meeting the wrong partner and becoming embroiled in a complex, destructive and abusive relationship.