Definitely some sort of shade on the windows. But not inside mount. The windows are set fairly low on the wall, so to lengthen the wall, I'd mount the shades much higher up, and maybe use one shade for every two windows. And paint the white trim the same color as the walls--right now the contrast is not a good look. Here are some examples of what you could do:

The cornice in the second pic is not updated looking to me. A cornice also needs to come down and cover the top of a window, not sit on top of it. Wouldn't work over a door at all unless the door opens outward. Pic is hard to see but looks like there's no wall space on the left in the first pic and then there's the fireplace. I'm not sure curtains would work at all. The cornices need to go on upper and lower. If privacy and/or light control is needed, shades or blinds would be the best thing and also give the most updated look.

What is considered as part of the cornice in the attached photo ? What material should it be ? I am confused to define the cornice components in the attached photo

There is lots of room-specific detailing in this house. Unlike now where most people want the interior details to match all over the house (not something I agree with necessarily, although I believe there should be some "system")--the Victorians jumbled together all sorts of things: among the original details of this house are Eastlake, Gothic revival, Romansque, Italianate and Colonial revival sometimes adjacent to each other. Maybe this was a man's bedroom or study. Maybe this room was remodeled later, although I doubt something like this was too recent, the other more recent modifications were not of the same level of work as this.