What is 'picking the wings off flies'?
'No, I'm suggesting that he is an actor. A quite natural and unconscious actor, who has made himself a household word in a few years without doing any noticeable work to that end. I could forgive you for not liking that. What did Marguerite find so wonderful about him?'
'I can tell you that. His devotion. Marguerite liked picking the wings off flies. Walter would let her take him to pieces and then come back for more.'

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It's a little hard to work out the meaning here.
I'm pretty sure that it is a reference to how children occasionally literally pull the wings off flies.
I assume that here, it is suggesting that she liked to either torture people, or to somehow remove their abilities (as a fly without wings can't fly)

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Marguerite liked picking wings off flies. It means she is very fussy and pays attention to the really small details. Even small, irrelevant and useless details like picking wings off flies.