I did see part of this series, at least the one on Dagmar on either the History Channel or the UK History channel. Keep your eyes open, as there are sure to be repeats!
The one on Dagmar was very impressive - with so many existing relatives speaking, visiting locations, etc. I enjoyed it so much. One of my favourite parts though was the end, when there was footage from i think Denmark, and i could make out Nicholas, Queen Alexandra, Toria.. and Alix. This was so impressive, as she was bending down to pick up one of the children, and laughing as Toria tried to make her look at the camera. One could see a very young little Olga on the steps.
I didn't know the series came out on video though, so thanks Robert! I second the recommendation of Katia, you'll really enjoy it