I've always gotten that impression too--that despite the dangers around them, some of which were made crystal-clear, the fact that death could be imminent just doesn't seem to have sunk it. Perhaps it seemed impossible to those raised in such an autocracy, surrounded by police and private detectives, that anyone could just come in, arrest and perhaps execute them.
We've discussed this mindset on some of the various threads dealing with the potential rescue of the Romanovs, the revocation of asylum, etc...No one seemed cognizant of the facts until it was too late--not those in foreign countries, nor those who had it staring them in the face. The British had even sent a warship to the Crimea to pick them up, QA implored her sister to leave and yet, still, it was months before the offer was accepted.
Poor GD George M. even escaped to Finland, but felt secure enough to return, whereupon he was arrested and later shot.