It would appear you are correct - after 1917, only Franz Josef remained HSH and a Prince of Battenburg, so technically he would outrank his elder brothers who no longer bore a royal, serene or regular highness rank but were instead British peers.
Incidentally, Ana was the last living person to use the title Battenburg until her own death, although as you pointed out, she was a HRH due to being the daughter of the King of Montenegro.