Knyaz Oleg was originally published privately by Oleg's parents, KR and Elizabeth Mavrikievna. It was a collection of essays by and about Oleg, with contributions from family members, tutors, friends, fellow solders, etc. Each copy had two original watercolors and a poem or two by Oleg bound into them, so each copy was different. In his 1915 diary, Grand Duke Andrei writes about going to the Marble Palace to visit Mavra after KR's death, and being given his copy at that time.
I believe that there was a limited edition print run made available to the public in 1915/1916 with proceeds of sales going to support war/refugee efforst.
I have seen the copies of this book that belonged to Princesses Vera and Tatiana Konstantinovna, so it's possible to say that this book was important enough to each of them that they brought them out of the country when they escaped. Greg and I have a copy of the book, and a facsimile of the one that belonged to Vera Konstantinovna -- in cooperation with the Jordanville Monastery, a limited number of facsimiles were produced, complete with an inscription from Vera. If I can figure out my current scanner difficulties, I will scan in one of the watercolors and send them to the FA for posting here.
On the subject of Oleg's engagement, I can't remember where I read it (maybe in In The Marble Palace, maybe in Gabriel K's unpublished memoirs(from which ITMP was taken), or maybe in Andrei's 1915 diary), but it seems that Nadezhda's mother, GDss Militza, was something less than pleased with the match, because she believed that the Konstantinovichi branch of the family was beneath hers. Gabriel recalled an uncomfortable visit to the Peter Nikolaieviches after Oleg's death where Militza was not as consoling as she might have been...
In any case, now that the current issue of Atlantis (Summer 2004) is completed and being printed and bound for mailing this week, Greg and I are hard at work on the next issue (Winter 2005 -- Januaryish), which will be devoted to the Konstantinovichi. We want this to be the largest publication thus far on the Konstantinovichi, and it will contain the latest research on all these subjects and more...