It would have deeply influenced history if Nicholas had married Margarethe - Romanov had married Hohenzollern!
I don't know if World War I would have occurred the way it did (I believe the root causes of nationalism, class conflict, and fundamental ignorance of what technological war meant guaranteed a big war) and Nicholas would have faced even more Germanophobia towards a Hohenzollern wife.
Its pretty clear that at least some people were giving up old religious prejudices in the case of Helene and those who first sought her out.