Glad you started this, gioia, as I've had two recent dreams. The second one has some similarities to yours although I'd swear I didn't see this thread till after I went looking for one following the second dream. The first dream involved only Nicholas and the second had everyone in the IF except Nicholas, oddly enough.
In the first dream, I traveled back to a time probably shortly before Nicholas abdicated--after he knew there was trouble but before it got terribly bad. I was trying to convince him he and his family needed to leave Russia or they wouldn't live to see the end of 1918. Finally I managed to go to this big, modern library in Russia and obtain a book to take back to show him and King George V of England which convinced them I really was from the future. I was telling King George if he didn't want the Romanovs in England he should find a place for them in some other British territory if he didn't want them all killed! Then I was to travel back to meet with Nicholas.
As I was approaching Nicholas, thinking ha ha on you, Anna Anderson, if the Imperial Family is saved you will have to pretend to be someone else, I felt this great weight of people from the future Russia pulling on me, as if saying, do not do this! That if the Tzars were saved, Russians wouldn't have future opportunities such as this great library but would be stuck in backward times. So when Nicholas was looking at me with this sincere gaze asking, "What must I do?" I was all like, "Aaaah, never mind," and kind of fled for the future.
He was in color in that dream but in the second dream all the people were in black-and-white. Alexei was playing happily on some rocks near the seaside, but at some point he became angry and started jumping up and down. Alix, Olga, and Tatiana went to implore him to be careful as if he jumped too hard he might hurt himself.
When I was in sight of them, it seemed I was in some area, like behind a palace, reserved for the Imperial Family. Then I went into what seemed to be a central area, sort of the Imperial Family gift shop. The back would lead out to the private area I'd left and the front would lead to an area admitting the general public. I was looking for souvenir items with the Romanovs pictured on them, but the only color pictures seemed to be military scenes in paintings on calendars. Few items bore photographs, and what there were were small and black-and-white. Maria was in the shop and seemed in charge of the place. I started to ask a question and addressed her as "Maria," and wondered if I should have prefaced it "Grand Duchess" or "Your Highness" but if she wasn't cool with it she gave no indication. I looked around some more and found the shop to be pretty much like a general store of the era, with the labels on the cans in color and looking better than the souvenirs. I began to wonder if it really was a Romanov souvenir shop after all.
Then attention was attracted by an outcry from the back. It seems Anastasia had started to go out a back door, expecting there to be a flight of steps, but it had been removed for repair. (My dad had a story of a similar incident taking place at a church where he was pastor.) As the door swung out, to keep from falling she managed to grab the hole where the doorknob should have been with one hand and an outer edge of the door with the other and was swinging there (out over the area leading to the beach and the rocks where I had seen the others) screaming for someone to get her down. I think someone did but that's about where it ended.