'Catholicism is a bit of a trouble. Remember the Marie Christine & Prince Michael of Kent trouble ? That was 1980's...You are talking much earlier.'
As I remember, the issue with Marie Christine was that she was divorced (in fact, the first divorcee to marry a Prince of the Blood since the Abdication), and the fact that the Act of Settlement meant that Prince Michael had to renounce his rights of succession. Since then, several minor royalties have married Catholics and renounced the succession with very little fuss.
Interestingly, both the Bulgarian and Romanian royal families were recent converts from Catholicism, and the Greeks were former Protestants. In 1912, the original converts were all still on their thrones.
As to Olga wanting to stay in Russia, I think, had she lived longer, and liked a foreign prince enough to want to marry him, she would have accepted that she had to leave. And Dresden was, conveniently, the closed capital to St Petersburg, apart from Berlin.
Ann