We had an interesting thread a few years back on whether or not Michael and Kay's relationship was a long-running power struggle twixt the two. It's true, as Lollie says, that some women (men, too, for that matter) go into a marriage thinking they're going to change their men, when in fact nearly every adult already has 99% of his/her behavior cast in concrete. Kay was dreaming when she thought that Michael would change. But Michael jollied her along. He isn't blameless.
The parallel between the two is that Michael also was dreaming: he thought he could change everyone around him into thinking that he was "legitimate," when in fact, as Kay said near the beginning of III, he was a "common Mafia hood." The key to Michael's fantasy is the scene in GF when he goes to New Hampshire to woo Kay. He's saying that, if Senators and Governors can get away with lying, cheating, even having people killed, and be considered "legitimate," then so can he. That's a fantasy every bit as unrealistic as Kay's belief that she could change him.