Is that a price they would have paid gladly, had they known the outcome before going into their mission?

I was thinking that same thing. Ultimately, I believe Elizabeth in particular thought she was prepared for this very scenario, giving up everything she loves for her country. And when Philip said, no, we can't take Henry, and it hits her that he's right, you can see her break apart. That certainty she'd had all along turns out to have been a brave front. She'll end up doing what is required, but the cost....