Indeed, this was clearly the behavior that the Emperor expected of himself, his wife, his children, and his retainers. If any of them had private thoughts, these would have been kept that way. We do know Alexei said of going to the Urals, "I am afraid of what they will do to us there". (not exact, but the gist of what he said).
I tend to agree they knew they were done for, just perhaps not done for at that very instance.