I'm an amateur collector of historic voices, and I stumbled upon your forum while searching for a recording of Tsar Nicholas II. I downloaded the recording and, though I found it thrilling, I'm a bit skeptical about the claim that we're hearing the Tsar himself. My main objection is that the voice portions are so neatly coordinated with the music; in other words, we seem to be hearing a well-rehearsed ceremony, with almost seamless responses from the troops at just the right moments. I doubt if the Tsar would have rehearsed with the band and regiment to polish their act to such a degree of precision.
Whether or not we're actually hearing the Tsar's voice, it's still an indescribably moving experience to hear "God Save the Tsar" played before a live audience during the reign of Nicholas II, with all those "hurrah"s and spoken passages. I like to think the Tsar was present at the ceremony even if he didn't speak.
Some of you wondered about the missing recordings of other members of the Imperial Family, as well as other speeches by the Tsar himself. If Edison or his men actually recorded them, it's possible that the recordings were destroyed during a catastrophic fire at Edison's lab, c. 1915. This fire probably consumed the only known recordings of Mark Twain's voice and who knows how many other celebrities of the time. It's a miracle that we have as many surviving recordings as we do.