I think people from America and the West tend to forget that in vast majority of the world, marrying your relatives isn't as taboo as they are making it out to be. Imagine you're in your village with little geographical mobility; your relatives, from your family to cousins are all there. You have to/are going to marry someone, would you;
- marry someone relatively unknown, or
- marry someone you probably know well or is familiar with, someone "vetted" by your relatives, someone with more than just "love" to bind you together.
I'm from an undeveloped country; I know and grew up with first, second, and third-cousins. I'm not romantically involved with them, but given that they're one of the first people of the opposite sex I ever interacted with, that there are people who do marry their relatives isn't that surprising. Plus, if you're nobility, possible gains may outweigh concerns about consanguinity, especially if you're a heir or your betrothed is wealthy or well-connected.