There was a massive fire in Deadwood in 1879 that destroyed over 300 buildings and devastated the town. It burned the Gem down to the ground, but Swearegen rebuilt it afterward. Since Seasons 2 and 3 were set in 1877, it's possible that we would've gotten to see the event if the show had been renewed. What a shame. Even though we got the movie, it wouldn't have made sense to set it only a year or two later with the actors looking 15 years older.
Charlie Utter apparently left Deadwood following the fire, never returned and died in 1912, so he wouldn't have been in town during the movie and certainly didn't die at that time.
Swearegen died in 1904, 15 years after the events of the movie. The movie seemed to imply that he died in the final scene, or at least made it ambiguous. I guess that he didn't... though the writers did change the timing of Utter's death, so who knows. Maybe they wanted us to infer that he died so that they could end the movie on a bittersweet note while not explicitly contradicting history.
Swearengen arrived in Deadwood the same year as Season 1 and was only 31, but Season 1 made him much older and seemingly a fixture in town. Also, he was married. Unsurprisingly, she eventually divorced him for spousal abuse (so, his temperament was accurate), after which he married (and divorced) two more times. Also, Swearegen had a twin brother, but it doesn't sound like he was ever in Deadwood.
The Gem Saloon was actually the Gem Theater, since it was a dance hall in addition to a saloon and brothel. Apparently, Swearengen would lure desperate young women to Deadwood to be dancers and then coerce them into becoming prostitutes for him, as well.
Calamity Jane was one of Swearengen's first dancers at the Gem Theater. That's a bit hard to imagine, at least from the show's depiction of her.
Bullock's wife was not his brother's widow and their child that arrived with her in Deadwood was a girl, not a boy, and only a few years old, not nearly 10. I guess that the writers changed the child's gender and age so that Sofia would have a male counterpart and, maybe, because they had the death planned and a much younger girl dying would be too horrific. Seth and Martha did end up with two daughters and a son, like the movie showed, but one of the daughters was the original and was 10 years older than her siblings.