I've been following a discussion on Goodreads that concerns historical novels and the "truth" they present. I also spent many, many years teaching history, using novels as a way to make the past more interesting to students than the history books seem able to do. What I see is that there are two purposes to reading historicals, and the wise reader understands what her goal is and then how much she cares about truth as opposed to an exciting story.
First and maybe foremost, we read for entertainment. We love a certain era, certain characters, or certain events from history and want to see how each author presents them. We want to be swept away from the now, want to know how they did things back then, want to think about differences and similarities between us and people in other times.
The other reason we read historicals is to learn about the past. Many of us get most of our understanding of history from novels, and there's the rub: not all novels are created historically. A reader who picks up a certain book with no historical background to call upon may conclude that everything in the book is true, and that's probably a mistake. Almost all authors have to bend the truth a little to make a novel work, even if it's just telescoping time or adding minor characters.
In all probability, it doesn't really matter if you think Anne Boleyn had sex with her brother, but there are ways to become better informed. First, read the author's notes; often we want to let you know where we depart from the facts for the sake of a good story. Second, read more than one author's take on a character or time period. There are hundreds of books on Marie Antoinette, for example, so you can get a rounded view and decide for yourself whether she was wicked or merely misguided.
Finally, there's always nonfiction. If you are reading to learn and not just for entertainment, you can look up what original or scholarly sources say on a topic. Just be aware: there aren't any totally objective sources, so you, like the authors who write historicals, must decide for yourself if Richard III killed his nephews or not. (I vote not, but it's just my opinion!)