I think Harry and Megan are unaware of their confusion.

They’re not really part of the British Royal Family anymore and Megan was never a big Hollywood movie star, so they have a weird “no official” and no “superstar” position, yet they strangely insert themselves as if they’re dignitaries. And that’s sort of disconcerting for them and the people they are “visiting”.

I honestly feel they would do better if they stuck to recreating themselves - if Megan wants to be the next Martha Stewart, Brilliant. 

Harry is the one who will have to search his soul to find what he really wants to do. It helps neither of them to keep up the charade of “visiting” as if they’re still officially “Royal”.