I'm inclined to think that this is an 'early' rather than 'late' picture, as Nicholas is wearing the uniform of HM Life Guard Hussars, quite apart from looking rather young for 1909. I think it's Colonel-in-Chief's uniform, which puts the date after his accession, so possibly 1896, when he, Alexandra and Olga stayed at Balmoral. During the 1896 visit Queen Victoria made him Colonel-in-Chief of the Royal Scots Greys, so I would expect to see him in that uniform in official photos taken during that visit. However....
I've an idea that Edward VII made Nicholas an Admiral in the Royal Navy - is that correct?