The movie would have been stronger if ...
(spoilers)
Movie would have been stronger if they didn't reveal the relationship between Eisenheim and Sophie until the very end. Have the movie focus on battle of wits between the illusionist vs the prince. The illusionist ridicules the prince in increasingly overt ways and the prince tries to reveal his tricks and do every dirty thing in the book to destroy his show and bring him down.
Sophie's death would have been just another example (seemingly) of the prince being the bad guy and deserving the ridicule and not much emphasis is put on it. The movie will continue and the prince looks like he has the illusionist on his last leg - he disrupted the show so much that the illusionist has one show left to do before he is brought down for financial / legal reasons or whatever - everything builds up to this one last show.. This is when Sophie is "brought back from the dead" and the prince is implicated in her death, riots ensues, prince's reputation is destroyed etc. etc. and this is when we reveal that Eisenheim knew Sophie and they have run away together..
As the movie stands, there is so much emphasis is on the relationship between Sophie and Eisenheim that when she "dies" the story dies too, it kinda plods along with no direction or conflict driving it and when the twist is revealed its not as impactful IMO.. you kinda see it coming.