I think "taken them in" is an operative term. More likely it would have meant to "assist in their refuge". The Spanish monarchy itself was not all that stable always verging on civil war itself,, but as a neutral country, it may have been able to assist in transit.
I have no insight at the moment on Sweden's position, being the closest to rescue, geographically. Despite the bad taste Olga left, I do not think they would have totally sent the rest of the family to the wolves, so to speak. There must have been something else, hidden in yet unopened archives and letters. I suspect, the Grand Duchy of Finland might have been an issue, as it once belonged to Sweden.
This whole scenario did not revolve around a family of bereft Romanovs facing unknown fate, it was an issue of nations, facing a situation the would affect their own borders and fates.
Whilst the other countries were reassessing their positions, the Romanovs would to have seen to be "you made your nest, now lie in it"
It is unlikely that we will ever see written "Alix was a bitch" simply because that would not have been written in the society of the times, not matter how someone may have felt. Especially in official papers. In private paper, the same and many of these were destroyed for various reasons.