I agree with the "shock" theory. He had surrounded himself with "yes" people, and had an unrealistic picture of reality for a very long time. Also, the only person he REALLY listened to was his wife. He was a wonderful family man, but was in no way prepared to be Tsar, and he knew it and his mother knew, and a lot of people knew it. I think he just wanted to go home, to his family, and chop wood and dig in his garden and not have to be Tsar anymore. I don't think it ever occured to him that his family would be harmed. At this moment, his whole world was closing in on him, and all he wanted was to go home to the one person who loved him and believed in him...his wife. To them, family was everything. Which is not in the least a BAD thing...but for the Tsar...he never did find the balance that was needed to be both a Tsar and a family man.
On the other spectrum, in England, it seems that the royalty know how to be good royals, but sort of have the "family" thing messed up.
Balance is a very, very hard thing to find...for us all. I can't even imagine what it must be like for royalty.