I agree with you on the inaccuracy of the set and that yes it is most unfortunate indeed. It appears that the set was made up of a conglomeration of the two photographs as has been mentioned and other inaccuracies added or subtracted. I have attached the set and both photos for simplicity.
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Now let us start with Stalin. He is actually the most accurate. It takes the pose from the next photo and the crossed legs from the last photo. He is correctly uniformed and wearing his great coat as he should be. His face sculpt is great.
Now on Roosevelt. He takes part of the pose and the cape from the next picture and the pin stripe suit from the last picture with colors inverted. The face sculpt is not very well done. The grin is in neither picture and seems over done. The cigar as you have pointed out is really wrong. Did he take it out of Churchill's hand?
Now Churchill. He has his military uniform and pose from the last picture. He holds the hat that was on his head from the first picture. The biggest failing being that he is not wearing his overcoat. I do not find his face sculpt very accurate. No cigar in his hand. It is obvious that even though there are various elements from both pictures the cold weather part needed to take precedence. I diss-like his pose as it almost looks subservient.
Perhaps some of these elements will look better in person as scans at times are not well representative of the figures.
I will not be purchasing one of these sets and do not see it being a big seller. However I am glad it was made for posterity.
For whatever it is worth...that is my two cents.
Ludwig
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