Here's what the Times said in their coverage of the wedding:
"From the King of the Belgians: A dress of beautiful and costly Brussels lace, with scarf and handkerchief to match."
As regards her actual wedding dress, it was altered soon after the wedding. When Wililam Frith was trying to paint his large-size portrait of the wedding, he not only had trouble pinning Bertie & Alix down for sittings but found that the dress had been 'cut up & altered' but Lady Augusta Bruce arranged for the Dresser to send to Frith all that was left of it.
Incidentally, he was supplied with photographs (in addition to the more traditional sketches) of the actual ceremony. Wouldn't they be wonderful to see.