I dont think, rationally, that Alexandra would have taken jewels from Maria as punishment for her affiliation with the young guard. Remember, the jewels were being hidden, not being worn, confiscating concealed jewels as punishment would have been pointless. As for the relationship in question between Maria and the guard, raised in 'The Fate of the Romanovs', whether it was sexual or innocent is never ever clarified, at its foundation, the guard appeared to be a friend to Marie. From memory I think he brought her a cup-cake on her birthday, which led to them being alone. Whatever the circumstances, I like the thought that Maria, who its well documented was flirtatious, had this friend, whether it was innocent or sexual. As for her family's response, you cannot be surpirsed, other then the clear social issues regarding status, the fact that they were prisoners under the guard of these men explains their reactions.