He was very devoted to her. As mentioned on the Jews and Royalty thread, she was rumored to have been fathered by a Jewish man by the last name of Haber. Michael not only ignored the rumors of illegitimacy but also (rather remarkably IMO considering the anti-Semitism in the Romanovs) the potential Jewish factor. Nonetheless, Cecile was mocked as Frau Haber and this caused pain. Supposedly part of the reason that GD Michael stayed as Governor of the Caucuses so long was to protect his wife from some of the vicious tongues at Court.