Martyn,
I've done some searching and here are the quotes, all from the same book, you may even have read it.
The Flight of the Romanovs: a family saga
by John Curtis Pery and Constantine Pleshakov
Basic Books, 1999
"The one side of Sergei that did not meet (his brother) Alexander's standard of conservatism and morality was his homosexual promiscuity. Sergei was as close to overt in his sexual behavior as a man of his position could be in Russia in the 1880s." Page 41
"However, the couple's life was shaped by Sergei's generally well-known although never discussed sexual orientation. The couple slept in the same bed but remained childless. Sergei Alexandrovich alledgedly propsed to his wfe more than once that she should choose a 'husband' among her entourage." Page 43
"Olga was long unhappily married and sexually frustrated; her husband, Prince Peter of Oldenburg, a minor Romanov offshoot, had no interest in women and in fact the marriage, Olga said, was never even consummated...Peter proved to be tolerant of his wife, allowing her in 1903 to bring into their home a tall young fair-haired army officer named Nicholas Kulikovsky...and the two lived together under Oldenburg's roof for thirteen years." Pages 129 - 130.
Any one else have information?