I think Cyril was in the forces, but what about Boris & Andre ?
"From his birth Grand Duke Boris was appointed patron of the 45th Azov Infantry Regiment, and enrolled into the Semeonovsky Life Guards and the Life Guards Dragoon regiment, the 4th Life Guard Rifle Battalion of the Imperial Family. His education emphasized languages and military training. In 1896, at the age of eighteen, he graduated from the Nikolaievksy Cavalry School with the rank of Cornet of the Life Guards Hussar Regiment. That same year he became aide-de-camp to the Emperor...In October 1903, he enlisted in the Czar's retinue. On 26 February he left Russia for the Far East, to take part in the Russo-Japanese War. On the morning of 31 March 1904, while galloping from the heights of Dacha Hill on the rim of Port Arthur, he witnessed the sinking of the Russian battleship Petropavlovsk in which more than 600 men died; his brother Grand Duke Kyril was among the few survivors. In December 1904, for his bravery in battle he was awarded a golden weapon with the caption For Courage and was promoted to staff captain.
By 1911 he was made a colonel. In the same year he represented the Czar at the coronation of Vajiravudh the King of Siam. Between 1910–1914, he wore the uniform of Colonel of His Imperial Highness the Tsesarevich Atamansky Guards Cossack Regiment. In 1914 he became a major general. When World War I broke out, Boris Vladimirovich was put in command of the Guards regiment of the Ataman Cossacks. It was a nominal position, and he managed to stay away from the fighting. He commanded this regiment during the War between 1914 and 1915. Thereafter, he was attached to the general headquarters and was made Field Ataman for the commander in chief on 17 September 1915. He served in the army without real distinction. His military responsibilities were only vaguely defined and he did not change his ways during the war, continuing his life of pleasure and idleness....In June 1916, he was having supper at military headquarters while drunk, and in the presence of several officers of the British Military mission, he lambasted Great Britain. His behavior was so insulting that the British Ambassador made a formal protest, and Boris was forced by the Emperor to apologize. When Nicholas II abdicated Boris was at Gatchina with Grand Duke Michael Alexandrovich, who declined the throne. This marked the fall of the Russian monarchy and Boris was one of the few members of the Romanov family who went to Mogilev to pay final respects to Czar Nicholas II."