Alexandra demanded absolute loyalty from her women friends and could not bear to be criticized. She was a very difficult woman and something of a prude. While Nicholas remained close with his mother and sisters his whole life, these three had their trials with Alix. She got along best with Olga, who rarely challenged her sister in law on anything. She barely got along with Maria Feodorovna, but they kept everything looking good on the surface until MF moved to Kiev over the Rasputin scandal.
With Xenia, they started out very good friends and apparently were close for the first 5 years or so. Then, things slowly started to unravel. Of course Xenia and Sandro having so many sons didn't help, but the real problem was that Alix needed to be the superior in all of her relationships with women. Xenia was a Tsar's daughter. She tried very hard for her brother's sake to be friends with Alix, but she was not slavishly devoted as were Anya V and the "Black Peril" (Militza and Anastasia). After this gradual pulling apart, Xenia and Sandro had affairs and of course Alix did not approve. They were never friends after that.
Alix looked down her nose at Xenia and Xenia said, "that woman made my brother Nicky into a dishrag".