Every situation is different. Helena was born a German princess and also a niece of Kaiserin Augusta Viktoria ("Dona"), it is natural for her to be German. However the Danish Royal Family was fiercely anti-German. She should have hidden her sympathies but instead she showed it off in every opportunity. Pretty tactless !
Queen Mary was born in England of a German Royal Family (Teck, which is the morganetic branch of the Wurttemberg Royal Family). She could never forget her Germaness (one of the few things she passed on to her eldest son David with devastating results). She also corresponded with her Aunt Augusta of Mecklenburg-Strelitz through out WWI (which could almost be termed as treasonable). She also personally liked Kaiser Wilhelm II, unlike her husband George V.