But what upset the film-maker just as much were suggestions that one of Harry's inner circle had betrayed his trust.
"Some people have been hinting that it was one of his friends who took the pictures. But that is absolutely not true," said Arthur, who was on the trip to Las Vegas with the Prince.
"None of his friends would ever do that. We are really careful."
But who are these friends who have got Harry's best interests at heart?
In this special report we take a look at Harry's trusted confidants.