Yes Marie kept the Crown Jewels to herself and Alexandra was thus obliged to wear the Jewels that were designated for the Tsarevitch's wife in many state occasions, but to a certain point even the Court who favored Marie over Alexandra started protesting and Marie handed over those jewels ecentually .
Another etiquette rule I ve read about is that no woman should present herself in mourning clothes in front of their Imperial Majesties, unless she was mourning for a Grand Duke , a Grand Duchess or a Romanov relative in general.
Sorry, I forgot to add: while invited or visiting the palace on official events . So they didn't really expect those poor ladies they met at the street or outside in general to go home and change. The rule also excluded those mourning for relatives of the Empress. At least if Granny ever visited from Britain she would have no problem attending a banquet :Bigrinn: