I got your point, Kalafrana.
How about mourning the death of the Queen Victoria, the Empress' grandmother who died in 1901. For a comparsion, the 1901 photo of the IF also shows that AF was wearing black and Nicholas white uniform as it is shown in the previous photo.
(Taken at Peterhof, in 1901, after Anastasia's birth -- the Empress is still wearing the black dress).
The IF also visited Denmark in September of 1896 and 1901 and in 1898 (or 1899 -- please correct me if I am wrong) as well. GD Georgiy died in August of 1899 and Queen Louise in 1898.