The House of Habsburg is another prominent example. And incest is one of the reasons of the downfall of this dynasty, just google Charles II of Spain. The people back than probably did have some suspicion that it was indeed harmful (at least it became forbidden to marry your siblings) but for many families it was much more important to keep the blood "pure" (as with the Egyptians) or the wealth within the family. It was not only the case with the royals, just look how widespread the marriages between cousins were in the European aristocratic society. Those marriages indeed only really ended with the development of modern science when people understood the true harm of the close relatives getting children.