I've always been curious about the incident as well. In Greg King's book 'The court of the last Tsar', this anecdote is attributed to Gleb Botkin in his book 'The real Romanovs'. The story has never been told with the identity of the person who was supposed to have given this response, and it is usually repeated in books to demonstrate Alexandra's narrow-minded morality. The other thing the anecdote is meant to demonstrate I think, is Alexandra's provincial nature - it is sometimes told as Alexandra saying that "in Darmstadt we never wear our dresses like that" (Darmstadt of course being a small, provincial German court).
What I do find strange is that any court lady would be (a) so discourteous and impertinent to the Empress (and by extension the Emperor and the Imperial family) and (b) risk basically being banned from court events. Whatever she may have thought of her daughter-in-law, Maria Feodorovna would not have supported this affront to the throne, and looking at other courts, I can't see people like Queen Mary or even Queen Alexandra taking such a thing on the chin either. While it may be that something like this happened, I wonder whether the young woman who sent this response was immediately suppressed by her family and made to grovel, and every effort was made to mitigate the offense and obliterate the offender's name from the story - the only way really they could demonstrate their loyalty to the throne after such rudeness. Perhaps in later years when dissatisfaction with Alexandra was growing, the event was remembered vaguely on the lines of: "I always knew there was something off about her - didn't she once send a stupid message about someone's low-necked dress".