One of the problems of the phrase 'Conspiracy Theory' is that it's something of a catchall term that can be used indiscriminately to undermine, what may indeed be perfectly rational and credible arguments about possible conspiracies. Are there conspiracies, of course there are.

Governments hide problematic truths from the people (such as how much they are being spied on for example). The police close ranks to protect themselves when people die under their watch (at a football match for example). Dossiers (about child abuse in high places for example) go 'missing.'

As for your specific examples, I don't have a clue concerning the truth of the circumstances surrounding either Lady Diana or Monroe's deaths, but do I think that those who rule us are frequently hideously shady and capable of eliminating problematic individuals - especially ones that may potentially compromise 'national security', absolutely I do. I think you'd have to be terribly naive not to think so.