Conservative tabloids and magazines have almost thrown a fit at both Catherine and Meghan when they've been seen to get this wrong. In keeping with the theme of dressing conservatively and preserving a sense of dignity, women of the Royal Family are expected to position their legs in a certain manner when they're sitting down.
For reference, sitting with legs open is out of the question, although that's generally inadvisable for most people all the time. Sitting with the knees and feet positioned together is preferred, but if legs must be crossed then it should be done at the ankle. Crossing of the legs at the knees breaks with etiquette and is considered to be uncouth. Having been attacked by the press for getting it wrong once, the Duchess of Cambridge has since perfected something now known as 'the Duchess slant'; where the legs slope to one side and cross at the ankles. This was also a preferred seating position of her mother-in-law, Princess Diana.