Say what you will about the British royals, they do give their all for the theater. Just after Prince Edward was named head of a British national children's theater, it was announced that the Duchess of York will be the guest of honor at a benefit performance to raise funds for the Eugene O'Neill Theater Center in New London, Conn., and two British organizations. The duchess, a.k.a. Sarah Ferguson, will attend a preview performance of "The Phantom of the Opera" on Jan. 21, in New York. Guests who buy $1,000 tickets will dine before the show with the duchess. George White, president of the O'Neill complex, said the fund-raiser promises to give a major boost to the O'Neill's $2.4-million capital-improvement campaign.