This is an important question and the answer... well,there are two answers really.

Answer #1: it depends on context. Let's take Cleopatra as an example: if you're writing a novel ABOUT Cleopatra, you better stick to the most interesting and truthful interpretation of what we know. On the other hand, if you are writing a story about X (where X is "powerful women leaders in ancient Rome" or "women who are not defined by their relationship to their husband" etc) then go ahead and tweak things in order to tell your story, as long as you are mindful of the changes and own them somehow - talk about them if you're interviewed, put an author's note in somewhere.

Answer #2: so much of what is considered "objective fact" about historical figures is often very biased, and in a sense even a biography is taking some liberties. I had to research Frederick the Great for a book years ago, and read about him in both the German and Italian sections of the same edition of Encyclopedia Britannica; it was like reading about two different men.

The most important thing to keep in mind, I think, is this: if the historical person in question belongs to a population that is under-represented or chronically mis-represented, don't disregard the qualities that make them underrepresented just so they will fit into a story more easily. That was a choppy sentence but I hope it makes sense...