I don't think that the issue was who made them female; Nicholas was not angry at Alix for her having four daughters. The fact is that a male was needed to suceeed the throne. Nicholas and Alix loved all their daughters very much, but in terms of succession, they were not "important." I think Nicholas was just getting concerned about the succession when he went of on a walk. I don't think he was disappointed in Alix; he still loved her very much and he loved their daughters very much, but as the Emperor of Russia he "needed" a son for the dynasty.
I have always thought Nicholas was a wonderful husband and father, but at the same time he had to be the tsar, and I believe that this incident was one time when the two roles clashed a bit.