Nicholas gave her up as soon as he became engaged to Alix. There is a story in his diary about it and how he handed her over to his cousin Sergei in a sled in the snow. She was the lover of Sergei Mikhailovich for 16 years at which time she became the lover of another cousin, Andrei Vladimirovich. She had a son at that time and there has been question as to whose it was, Sergei's or Andrei's. But Nicholas did not continue to carry on with her after 1894, and that's a fact.
Mathilde would better be classified as an old girlfriend or lover than a 'mistress.' A mistress is someone the husband takes while married, and Nicholas didn't have one. He did have old girlfriends, as all men do before they get married. Nothing scandalous here.
Reading their diaries, letters and every historical account available, you can see how much in love they were. If anything had gone on, it would come out in these private papers, as it did with his sister Xenia who DID have an affair (and her husband was sleeping with the guy's wife too!) But not Nicholas and Alexandra!
Mary Sue, if you mean this to tie in with your post on the Anastasia forum about Anastasia being by a mistress, that is just preposterous. Alexandra had Anastasia, and Nicholas took a walk out of disappointment it wasn't a boy. That swap story is just as wild as the rumor that her false pregnancy resulted in a fifth daughter who was shipped off and raised by someone else. Hey, that exactly contradicts the fifth daughter story, that says they gave away a natural child, and yours says they kept an illegitimate child of Nicky and a mistress? Neither are true at all. Anyone who has read a lot on them knows their true devotion for each other and their love for their children. None of that happened.