Have you ever read Jonathan Strange and Mr. Norrell by Susanna Clarke? It has the elements that you love ( It's written as a history, complete with footnotes referring to other -- fictional -- texts. Actual historical figures are mixed in with the fictional ones. Plus there are kidnappings conducted by those who reside in Faerie... which coexists with our reality. The main characters, though heavily flawed, are not unlikeable. In fact Jonathan Strange reminds me so much of Doctor #10, and Mr. Childermass seems very Snapish. It was almost like coming home.) It's a very long book, but I loved it immensely. From your description of this book, I think you would like Jonathan Strange.