Actually, I think I can clear this one up. The Massies did not AFAIK walk out on the premiere. HSH Prince Vasili Alexandrovich, youngest son of GD Xenia, did serve as a technical advisor on the film. He felt he was not really listened to. According to his nephew, Prince Andrei Andreivich, Vasili walked out of the premiere. He was very fond of his Aunt Alix and felt that the portrayal of his relative was not fair to her at all. (By the way, children loved Alexandra.)
Andrei told me this in the early 1990's. The information was confirmed by Vasili's granddaughter about 10 years ago - her grandfather walked out on the premiere because of how Nicholas and Alexandra were portrayed in the film.