The Queen of England wore her sapphire and pearl drop brooch on her first trip to Russia. It was a wedding gift from Edward the Seventh and Queen Alexandra to Empress Marie Feodorovna, and was purchased by Queen Mary via Hennell's when the jewel collection of the Dowager Empress was put up for sale. She wore it to make the point that her family had ties to the Imperial Family of Russia.
I have also read someplace that after Xenia and Olga picked out the items that they wanted to keep for sentimental reasons, the items that went unsold by Hennel's were returned to Xenia, and she kept them. Perhaps it was mentioned in the book ALWAYS A GRAND DUCHESS.