Alachia was Eva Braun, she's also shown as having been or atleast taken over the identity of Queen Elizabeth the first of England, Harlequin may have been Richard the Lionheart.
But to be honest i doubt many of them bothered with being "famous" people, however they may have known or been around famous people. Ehran alludes to having met and talked to Leonardo da Vinci and one of the egyptian pharaohs.
But there's no question that some of them have from time to time involved themselves in the World and it's people. Worlds without end shows how Aina involves herself in curing a plaguestricken woman in Elizabethan England only to find herself accused of witchcraft and thrown in the Tower, where she then meets Alachia/Elizabeth.
So short answer: They were involved from time to time in whatever Struck their fancy, i doubt any of them stayed involved the Whole time though.
You have to remember that to most of them, the 5th World was likely a pale shadow of the World they were born into, and they themselves also a pale shadow of their former selves. And when you have seen so much as they have, it quite likely takes a LOT for them to become interested or morally outraged enough to involve themselves in anything. Taking the long view also sometimes Means ignoring current events that the rest of the World is convinced is the most important thing ever.
So essentially everytime you wanna involve any of the "old" immortals, you have to ask yourself "why would they care?" Wars? They've seen hundreds if not thousands, diseases? Same Again, Despots and oppression? Same Again Again....and so on. Most people usually don't consider how exhausting and many times downright boring it would be to actually be immortal. No Wonder they have to play intricate games with each other to stay interested.