The marriage of Lord Nicholas Windsor, youngest child of the Duke and Duchess of Kent, to Paola Doimi de Frankopan is thought to be the first British royal marriage to take place at the Vatican since the Reformation. It was blessed by the Queen, who has written to the couple paying tribute to their shared devoutness.

“They are obviously in love. Their faith is central to their marriage,” said Anthony Bailey, a friend of both of them. “To have the ceremony in the Eternal City has meant so much to both of them. They are a very quiet and discreet couple and have been fazed by the media interest.”

The three days of palazzo–hopping celebrations represent a contrast to the couple’s professed shyness. The party began on Friday night with a pre–wedding dinner for 160 at the baroque Palazzo Taverna.

After the wedding at the historic church of St Stephen of the Abyssinians, it was on to the Palazzo Doria Pamphili for the reception, although proceedings will be wound up today at a mere hotel, the Forum, with a post-Mass brunch. The honeymoon will take place “outside Europe”.

The groom’s parents and siblings — the Earl of St Andrews and Lady Helen Taylor — were among the 200 or so wedding guests, but neither the Queen nor Prince Charles, the groom’s godfather, attended. A royal celebration is planned for the couple in Britain next year.

The ceremony, which included a prayer for the Queen, her government and armed forces, was conducted by Alan Hopes, auxiliary bishop of Westminster and another Catholic convert. The bride wore a dress by Valentino.

The Austro-Italo-Croatian noble heritage of the blonde Paola, 37, educated at Wycombe Abbey and Cambridge, was reflected in the guest list by aristocrats and deposed royals from Austria, Portugal, Bavaria and the former Yugoslavia.

Also present were four members of a still-reigning dynasty, albeit a grocery one. Paola’s brother Peter is married to Jessica Sainsbury, son of Sir Timothy, scion of the supermarket family and a former Tory minister.

Earlier in the week, the couple had been blessed by Benedict XVI, to whom the royal wedding may bring a hint of historic satisfaction.

The Queen officially gave her go-ahead at a Privy Council meeting in October, opening the way for a register office ceremony in London that took place two weeks ago.

This was the first time since the royal marriages act in the 18th century that a monarch had sanctioned a fully Catholic royal wedding (although George IV secretly — and illegally — wed his Catholic mistress).

Paola’s Catholicism comes from her father Louis, a distant relative of 17th-century Croatian royalty. Her mother Ingrid is a Swedish professor who advises the Vatican on international law, wrote a set text on the rules of war and speaks some 13 languages.

The event in Rome could not have been a bigger contrast to that in Lewes, Sussex which every year holds the greatest show of Protestant triumphalism outside Northern Ireland. In contrast to the magnanimous words for the Queen in Rome, the traditional “bonfire prayer” reads: “A penny loaf to feed the Pope, a farthing o’cheese to choke him.”

For Windsor, his conversion and wedding after a five–year courtship of Paola, a professional artist, have been a vital part of putting a sometimes difficult youth behind him. Windsor, 36, the Queen’s first cousin once removed, lives quietly in his Pimlico terraced house near Westminster cathedral, where he worships daily. Windsor occupies himself with charity work, teaching children with special needs and gardening.

He was educated at Westminster school, where he was bullied, and then went to Harrow. He was given a place at Manchester College, Oxford, but dropped out to go trekking round Africa. He has occasionally suffered from eating disorders and depression.

At the age of 18, he was cautioned for possessing cannabis after being searched by police in St James’s Park, just outside Buckingham Palace.

In 2001 Windsor followed his mother, the Duchess of Kent, into the Catholic faith under the aegis of Father Michael Seed, the society priest and spiritual adviser to the prime minister whose growing band of converts are nicknamed Seedlings.

oMajor Bruce Shand, father of the Duchess of the Cornwall, who died in June aged 89, has left just under £1m in his will, split among his three children. Shand, known as the “gallant major” to his son–in–law the Prince of Wales, also left money to military and hunting causes and his housekeeper.

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