Great questions. The wonderful thing about this song is the seemingly infinite number of ways you can interpret it. Are these even two separate people at all, or are they two sides of one psyche warring with each other? Are you the queen today, or are you the soldier? Were you playing the opposite role yesterday?
I believe the standard interpretation, at least as Suzanne has told it, is that the queen is indeed drawn to the soldier, which is why she has to kill him -- surrendering to her desire means surrendering her power and ending up like the victimized queen in "Knight Moves," which she refuses to do. On the other hand, this is apparently the first time they've met, so I think you're onto something in suspecting that what she "wanted more than she ever could say" is about more than just this young man in uniform.
And how much, if at all, did the soldier really love the queen? I've always thought his statement about wanting to love a young woman he doesn't understand was professing his love for her (in a wonderfully oblique way). Then again, he doesn't say he loves her -- just that he *wants* to. If indeed he's talking about her. Maybe he just pities her, seeing how alone she is. Maybe he's surprised she's so young. Maybe he wants to rescue her, or maybe he just sees her as an easy mark (mistakenly, it turns out). He seems to embody many of the qualities Suzanne says she admires (courage, honesty, straightforwardness), but one female Towie once remarked that he seemed like an overbearing jerk telling the queen how to live her life. Who's to say?
As for the bleeding, Suzanne has said the image came from a cat of hers bleeding internally after swallowing a thread (something cats do with alarming frequency). But what does it mean in this song? I had thought it might be menstrual : Perhaps she's the lone woman surrounded by militaristic men, confused by this thing her body is doing that nobody else's seems to be doing, and maybe the bleeding is one more thing that separates her from the people around her. Attributing the bleeding to a "secret" thread could just be a sign of how little she knows her own inner anatomy. Or maybe she's bleeding internally from the struggle within her. Maybe she secretly cuts herself in the bathroom when nobody else is around.