Catherine of Aragon (right now) has a tiara-esque headpiece, and is the only one who does — she always did maintain that she was the true queen of England and the divorce didn't count, and had a good chunk of the public on her side about that.
The two beheaded queens, Anne Boleyn and Katherine Howard, wear green and pink respectively. Green and pink are often used for characters that compliment each other (think Cosmo and Wanda, Satono Nishida and Mai Teireida, or Tiana and Lottie); this is mainly because pink is a tint of red, and red and green are complementary colors. Considering Anne and Katherine are not only both wives of Henry VIII who were beheaded but were also cousins, it makes sense that their signature colors would be ones that are often used for characters that compliment each other.
In addition to the colour coordination above, the two beheaded queens also both wear black chokers; this is to keep their heads from falling off.
All of the queens' storylines have at least one lie that they, through the course of the show, prove wrong.
Aragon isn't cursed to be barren because she was Henry's brother's wife first — she bore him a daughter. He took her title away, but she still claims to be the rightful queen, and was acknowledged as such by a good chunk of the public. The show acknowledges it by having Aragon be the only one to wear a tiara.
Boleyn isn't an empty-headed homewrecker — as Artistic License – History points out, politics were her thing. In the show itself, she proves she does read with a scathing commentary on how useless comparing the queens to each other is, loaded with academic terms.
Seymour isn't scared or naive for sticking by Henry — she fully understands that his love is conditional on her being able to bear him a son, and her untimely death.
Cleves wasn't as ugly as Henry called her, or if she was, it was quite understandable by the standards of the time.
Howard isn't a precocious, unrepentant temptress — she's a young woman who's constantly been treated like a sex object and a tool for power grabbing all her life.
Parr doesn't need Henry's love, or any man's love, to be the strong, intelligent, proto-feminist that she is — she lays out all her accomplishments for equality in "I Don't Need Your Love".
Every time Jane mentions that her death tragically left her newborn son motherless, it seems strange that Anne Boleyn doesn't point out that essentially the exact same thing happened upon her death, with young Elizabeth being a toddler at the time. This finally makes sense with the reveal that the entire "fight" between the Queens has been staged — technically, Jane has no argument that wins out over the other Queens, unless they deliberately decide to not mention Elizabeth losing Anne.
Song-specific
"Don't Lose Ur Head":
Anne Boleyn's line "LOL / Say, 'Oh, well' / Or go to hell" is basically a modernized version of one of her real-life mottoes: "Aisi sera groigne qui groigne." Or, translated, "Grumble all you want, but this is how it's going to be."
Also Anne's refrain of "What was I meant to do?" is playfully defensive during the first two verses and desperate during the third, but it might also be a nod to a common narrative suggesting that Anne didn't want to be Henry's mistress or his wife and had no option but to go along with his desires — what are you meant to do when a king is set on marrying you?
At first, "Heart Of Stone" appears to be a declaration of Jane's love for Henry, despite the way he treats her — but by the end, it's clear that it's actually meant for her son, Edward, hoping that she'll still remain unbreakable in his learning about and remembering her.
"All You Wanna Do" being this Womanizer-esque pop song where Katherine initially bragging about how sexually appealing she is to men makes sense when you realize one of the signs of sexual abuse in children/teenagers (which Katherine was), is inappropriate sexual behavior. If Katherine is to be read in the musical as the age she was when she was killed (generally agreed to be a teenager, ranging anywhere from 17-19), she's simply a child expressing the fact she was abused in a tragically common way.
Parr's repetition of "I don't need your love" in the finale is probably not just directed at Henry, but at her last husband, Thomas Seymour: her happy ending presumably wouldn't have included dying in childbirth a year after marrying a toerag who was grooming her step-daughter, then-Lady Elizabeth.note Seymour was also an (incompetently) treasonous toerag and was executed 7 months after his wife's death.
Katherine Howard's part in "Six" is accompanied by a flute and a lute (actually played on keyboard), the instruments Manox taught her.
Katherine Howard starts out thinking that all the men who charm her are "different" than the others — including Henry Mannox, who she met when she was thirteen. Different from who?
Different from boys her own age, probably.
Some of the happy endings in "Six" might not be so happy (except for Cleves).
Aragon goes into a convent where she'd be forced to "shh" for the church hierarchy.
Boleyn gets rewarded for her impulsive, devil may care, attitude (which is clearly declared problematic in her song) by getting famous for re-appropriating what on its face is a personal love note.
Jane's happy ending still involves marrying and being reliant on Henry.
Howard, whose song was partly a comment on the exploitative nature of the pop industry, trades in wanting acceptance from one group of uncaring people (men wanting sex) to another (fickle pop fans).
Parr presumably gets with the man she's singing to in "I Don't Need Your Love", AKA Thomas Seymour who was, at best, naively inappropriate towards Elizabeth Tudor when she lived with him and Parr.
